Online Resource Allocation with an Endogenous Markov State: Fewer LP Solves Earn More

Abstract:We study finite-horizon online resource allocation with i.i.d. requests and an endogenous Markov state on a finite state space: each action affects the transition of the state that governs future rewards and resource consumption. In this problem, a transient fluid LP benchmark upper bounds the expected reward of every nonanticipating policy, while a stationary LP supplies randomized state-dependent controls. We assume that the stationary LP has a unique optimum and identify primal nondegeneracy and irreducibility of the optimal induced kernel as important regularity conditions in this framework. With a known request prior, we show that, under nondegeneracy and irreducibility, both frequent and infrequent re-solving attain $O(1)$ regret. However, under a degenerate optimum, irreducibility yields the sharp worst-case $\Theta(\sqrt{T})$ rate for infrequent re-solving, while frequent re-solving can incur $\Omega(T)$ regret. Thus, more frequent optimization can perform asymptotically worse. With an unknown request prior, we develop a three-phase U-shaped infrequent re-solving policy that coordinates learning and inventory correction with $O(\log\log T)$ LP solves. When the optimal induced kernel is irreducible and the algorithm is given the optimal target state class and a constant-cost entrance policy, it attains $O(1)$ regret under nondegeneracy and $O(\sqrt{T})$ regret under degeneracy. Without the target-class information, linear minimax regret is unavoidable. Numerical experiments further illustrate the instability of round-by-round re-solving relative to epoch-wise infrequent re-solving, show that thresholding greatly mitigates its loss, and find that infrequent schemes remain dominant under both known and estimated priors.

Machine Learning (cs.LG)

arXiv:2610.09577 [cs.LG]

(or arXiv:2610.09577v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2610.09577 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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