论文标题
一种建设性的先知不平等方法,用于自适应探险问题
A Constructive Prophet Inequality Approach to The Adaptive ProbeMax Problem
论文作者
论文摘要
在自适应概率问题中,给定相互独立的随机变量的集合$ x_1,\ ldots,x_n $,我们的目标是设计一种自适应探测策略,以在这些变量的大多数$ k $上进行顺序采样,目的是最大程度地提出预期的最大值采样。尽管具有风格化的公式,但此设置仍捕获了与信息结构和有效计算有关的随机优化固有的许多技术障碍。由于这些原因,自适应Probemax已成为多种算法方法的测试床,并同时作为课程和教程中的流行教学工具,专门针对不确定性下优化的最新趋势。 本文的主要贡献在于提出一种基于简单的Min-Max问题的最佳自适应探测策略的预期最大奖励的新方法。我们配备了这种方法,我们设计了纯粹的组合算法,用于确定性计算可行的集合,这些集合通过先知不平等思想分析了与自适应最佳距离的附近。因此,这种方法使我们能够以最广泛的形式为Probemax问题建立改进的建设性适应性差距,其中$ x_1,\ ldots,x_n $是一般的随机变量,当$ x_1,\ ldots,x_n $连续时取得进一步的进步。
In the adaptive ProbeMax problem, given a collection of mutually-independent random variables $X_1, \ldots, X_n$, our goal is to design an adaptive probing policy for sequentially sampling at most $k$ of these variables, with the objective of maximizing the expected maximum value sampled. In spite of its stylized formulation, this setting captures numerous technical hurdles inherent to stochastic optimization, related to both information structure and efficient computation. For these reasons, adaptive ProbeMax has served as a test bed for a multitude of algorithmic methods, and concurrently as a popular teaching tool in courses and tutorials dedicated to recent trends in optimization under uncertainty. The main contribution of this paper consists in proposing a novel method for upper-bounding the expected maximum reward of optimal adaptive probing policies, based on a simple min-max problem. Equipped with this method, we devise purely-combinatorial algorithms for deterministically computing feasible sets whose vicinity to the adaptive optimum is analyzed through prophet inequality ideas. Consequently, this approach allows us to establish improved constructive adaptivity gaps for the ProbeMax problem in its broadest form, where $X_1, \ldots, X_n$ are general random variables, making further advancements when $X_1, \ldots, X_n$ are continuous.