Linear Programming Based Near-Optimal Pricing for Laminar Bayesian Online Selection

34 Pages Posted: 5 Aug 2019 Last revised: 26 Apr 2024

See all articles by Nima Anari

Nima Anari

Stanford University - Computer Science Department

Rad Niazadeh

University of Chicago - Booth School of Business

Amin Saberi

Stanford University - Department of Management Science & Engineering

Ali Shameli

Stanford University, Management Science & Engineering

Date Written: July 31, 2019

Abstract

he Bayesian online selection problem aims to design a pricing scheme for a sequence of arriving buyers that maximizes the expected social welfare (or revenue) subject to different structural constraints. Inspired by applications with a hierarchy of service, this paper focuses on the cases where a laminar matroid characterizes the set of served buyers. We give the first Polynomial-Time Approximation Scheme (PTAS) for the problem when the laminar matroid has constant depth. Our approach is based on rounding the solution of a hierarchy of linear programming relaxations that approximate the optimum online solution with any degree of accuracy, plus a concentration argument showing that rounding incurs a small loss. We also study another variation, which we call the production-constrained problem. The allowable set of served buyers is characterized by a collection of production and shipping constraints that form a particular example of a laminar matroid. Using a similar LP-based approach, we design a PTAS for this problem, although in this special case the depth of the underlying laminar matroid is not necessarily a constant. The analysis exploits the negative dependency of the optimum selection rule in the lower levels of the laminar family. Finally, to demonstrate the generality of our technique, we employ the linear programming-based approach employed in the paper to re-derive some of the classic prophet inequalities known in the literature — as a side result.

Keywords: Bayesian online selection; Prophet inequalities; PTAS; Dynamic programming

Suggested Citation

Anari, Nima and Niazadeh, Rad and Saberi, Amin and Shameli, Ali, Linear Programming Based Near-Optimal Pricing for Laminar Bayesian Online Selection (July 31, 2019). Chicago Booth Research Paper No. 20-24, Available at SSRN: https://ssrn.com/abstract=3430156 or http://dx.doi.org/10.2139/ssrn.3430156

Nima Anari

Stanford University - Computer Science Department ( email )

353 Serra Mall
Stanford, CA 94305
United States

Rad Niazadeh (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S Woodlawn Ave
Chicago, IL 60637

HOME PAGE: http://https://faculty.chicagobooth.edu/rad-niazadeh

Amin Saberi

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

Ali Shameli

Stanford University, Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

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