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arXiv · 1809.02016

Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards

Alessandro Arlotto·Xinchang Xie
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Abstract

We study a dynamic and stochastic knapsack problem in which a decision maker is sequentially presented with items arriving according to a Bernoulli process over $n$ discrete time periods. Items have equal rewards and independent weights that are drawn from a known non-negative continuous distribution $F$. The decision maker seeks to maximize the expected total reward of the items that she includes in the knapsack while satisfying a capacity constraint and while making terminal decisions as soon as each item weight is revealed. Under mild regularity conditions on the weight distribution $F$, we prove that the regret---the expected difference between the performance of the best sequential algorithm and that of a prophet who sees all of the weights before making any decision---is, at most, logarithmic in $n$. Our proof is constructive. We devise a reoptimized heuristic that achieves this regret bound.

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Alessandro Arlotto, Xinchang Xie. 2019-10-28. Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards. https://arxiv.org/abs/1809.02016

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