Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards

We study a dynamic and stochastic knapsack problem in which a decision maker is sequentially presented with items arriving according to a Bernoulli process over n discrete time periods. Items have equal rewards and independent weights that are drawn from a known nonnegative continuous distribution F. The decision maker seeks to maximize the expected total reward of the items that the decision maker includes in the knapsack while satisfying a capacity constraint and while making terminal decisions as soon as each item weight is revealed. Under mild regularity conditions on the weight distribution F, we prove that the regret—the expected difference between the performance of the best sequential algorithm and that of a prophet who sees all of the weights before making any decision—is, at most, logarithmic in n. Our proof is constructive. We devise a reoptimized heuristic that achieves this regret bound.

Duke Scholars

Author Alessandro Arlotto Fuqua School of Business