Optimal No-Regret Learning for Repeated Prophet Inequality

Abstract:We study repeated prophet inequalities under prefix feedback. In each of $T$ rounds, a learner encounters fresh values drawn independently from $n$ boxes with unknown $[0,1]$-supported distributions in a fixed order and must irrevocably accept one, observing only the prefix up to its stopping box. Regret is measured against the optimal stopping policy that knows the distributions. We give an efficient algorithm achieving $\widetilde O(\sqrt{T})$ expected regret, matching the lower bound up to logarithmic factors. Our algorithm explores directly through near-optimal policies, combining empirical backward induction with box-specific reach bonuses. A relative-drop aggregation rule then exploits the nesting structure of observed prefixes to preserve exploration, thereby removing the polynomial dependence on the box number $n$. This resolves an open question posed by Liu et al. (2025).

Machine Learning (cs.LG)

arXiv:2609.23265 [cs.LG]

(or arXiv:2609.23265v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2609.23265 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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