Good Prophets Know When the End Is Near

• 成果类型: Article
• 署名作者: Banerjee, Siddhartha; Freund, Daniel
• 署名单位: Cornell University; Massachusetts Institute of Technology (MIT)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.04307
• 发表日期: 2025
• 关键词: online stochastic decision making; Approximate Dynamic Programming; model-predictive control; online bin packing; generalized assignment

摘要

We consider a class of online decision-making problems with exchangeable actions, where in each period a controller is presented an input type drawn from some stochastic arrival process. The controller must choose an action, and the final objective depends only on the aggregate type-action counts. Such a framework encapsulates many online stochastic variants of common optimization problems with knapsack, bin packing, and generalized assignment as canonical examples. In such settings, we study a natural model-predictive control algorithm. We introduce general conditions under which this algorithm obtains uniform additive loss (independent of the horizon) compared with an optimal solution with full knowledge of arrivals. Our condition builds on the recently introduced compensated coupling technique, providing a unified view of how uniform additive loss arises as a consequence of the geometry of the underlying decision-making problem. Our characterization allows us to derive uniform loss algorithms for several new settings, including the first such algorithm for online stochastic bin packing. It also lets us study the effect of other modeling assumptions, including choice of horizon, batched decisions, and limited computation. In particular, we show that our condition is fulfilled by the above-mentioned problems when the end of the time horizon is known sufficiently long before the end. In contrast, if at a late stage, there is still uncertainty about the end of the time horizon we show that such uniform loss guarantees are impossible to achieve. We use real and synthetic data to illustrate our findings.