Order-selection Prophet Inequality (Almost) Goes I.I.D

Overview & Synopsis

We study the order-selection prophet inequality. A gambler knows the distributions of independent nonnegative random values, chooses the order in which to inspect them, and may irrevocably accept at most one value, at the time it is revealed. Since the order is irrelevant when the values are i.i.d., no algorithm can guarantee more than the optimal i.i.d.\ ratio $Γ_\star\approx0.74544$ of the expected maximum. We give an algorithm with competitive ratio $0.74500001$, less than $4.5\times10^{-4}$ below this bound. The algorithm samples independent arrival times and uses item-dependent thresholds. It is designed so that, conditional on its value, every item is selected with probability equal to a fixed fraction of its probability of being the maximum. We show that the constructions of this form that apply one local rule to every item are exactly those given by an allocation kernel, that is, by a coupling of two uniform random variables. Requiring every rarely winning item to follow the optimal i.i.d.\ threshold path singles out a baseline kernel, for which we prove analytically a ratio $Γ_0\approx0.7389$, defined through a one-dimensional control problem. Our final kernel perturbs this baseline, and its guarantee combines analytic estimates with a rigorous computer-assisted certificate.