arXiv subjects

Will Ma

Publications and source records attributed to Will Ma.

At least 37 records · Page 2Linked to original sources

arXiv2025

From Contextual Data to Newsvendor Decisions: On the Actual Performance of Data-Driven Algorithms

In this work, we study how the relevance/quality and quantity of past data influence performance by analyzing a contextual Newsvendor problem, in which a decision-maker trades off between underage and overage costs under uncertain demand. We consider a setting in which past demands observed under ``close by'' contexts come from close by distributions and analyze the performance of data-driven algorithms through a notion of context-dependent worst-case expected regret. We analyze the broad class of Weighted Empirical Risk Minimization (WERM) policies which weigh past data according to their similarity in the contextual space. This class includes classical policies such as ERM, k-Nearest Neighbors and kernel-based policies. Our main methodological contribution is to characterize exactly the worst-case regret of any WERM policy on any given configuration of contexts. To the best of our knowledge, this provides the first understanding of tight performance guarantees in any contextual decision-making problem, with past literature focusing on upper bounds via concentration inequalities. We instead take an optimization approach, and isolate a structure in the Newsvendor loss function that allows to reduce the infinite-dimensional optimization problem over worst-case distributions to a simple line search. This in turn allows us to unveil fundamental insights that were obfuscated by previous general-purpose bounds. We characterize actual guaranteed performance as a function of the contexts, as well as granular insights on the learning curve of algorithms.

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arXiv2025

Dynamic Pricing for Reusable Resources: The Power of Two Prices

Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with heterogeneous willingness-to-pay (WTP), and the usage duration distribution is general. Optimal dynamic policies are computationally intractable when usage durations are not memoryless, so existing literature has focused on static pricing, which incurs a steady-state performance loss of ${O}(\sqrt{c})$ compared to optimality when supply and demand scale with $c$. We propose a class of dynamic "stock-dependent" policies that 1) are computationally tractable and 2) can attain a steady-state performance loss of $o(\sqrt{c})$. We give parametric bounds based on the local shape of the reward function at the optimal fluid admission probability and show that the performance loss of stock-dependent policies can be as low as ${O}((\log{c})^2)$. We characterize the tight performance loss for stock-dependent policies and show that they can in fact be achieved by a simple two-price policy that sets a higher price when the stock is below some threshold and a lower price otherwise. We extend our results to settings with multiple resources and multiple customer classes. Finally, we demonstrate this "minimally dynamic" class of two-price policies performs well numerically, even in non-asymptotic settings, suggesting that a little dynamicity can go a long way.

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arXiv2025

Optimizing Inventory Placement for a Downstream Online Matching Problem

We study the inventory placement problem of splitting $Q$ units of a single item across warehouses in advance of a downstream online matching problem that represents the dynamic fulfillment decisions of an e-commerce retailer. This is a challenging problem both theoretically, due to the computational complexity of the downstream matching problem, and practically, as the fulfillment team continuously updates its algorithm while the placement team lacks direct evaluation of placement decisions. We compare the performance of three placement procedures based on optimizing surrogate functions that have been studied and applied: Offline, Myopic, and Fluid placement. On the theory side, we show that optimizing inventory placement for the Offline surrogate leads to an $α(1-(1-1/d)^d)$-approximation for the joint placement and fulfillment problem under any demand model that admits an $α$-competitive fulfillment policy. We assume $d$ is an upper bound on how many warehouses can serve any demand location. The crux of our theoretical contribution is to use randomized rounding to derive a tight $(1-(1-1/d)^d)$-approximation for the integer programming problem of optimizing the Offline surrogate. We further show how to extend this result to a multi-SKU setting, improving upon the best known approximation of $1/2$. We use statistical learning to show that rounding after optimizing a sample-average Offline surrogate, which is necessary due to the exponentially-sized support, indeed has vanishing loss. On the experimental side, we evaluate how different combinations of placement and fulfillment procedures perform on a wide array of synthetic instances. When coupled with a good fulfillment procedure, optimizing the Offline surrogate performs best even compared to computationally-intensive simulation procedures, corroborating our theory.

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arXiv2025

The Competitive Ratio of Threshold Policies for Online Unit-density Knapsack Problems

We study a wholesale supply chain ordering problem. In this problem, the supplier has an initial stock, and faces an unpredictable stream of incoming orders, making real-time decisions on whether to accept or reject each order. What makes this wholesale supply chain ordering problem special is its ``knapsack constraint,'' that is, we do not allow partially accepting an order or splitting an order. The objective is to maximize the utilized stock. We model this wholesale supply chain ordering problem as an online unit-density knapsack problem. We study randomized threshold algorithms that accept an item as long as its size exceeds the threshold. We derive two optimal threshold distributions, the first is 0.4324-competitive relative to the optimal offline integral packing, and the second is 0.4285-competitive relative to the optimal offline fractional packing. Both results require optimizing the cumulative distribution function of the random threshold, which are challenging infinite-dimensional optimization problems. We also consider the generalization to multiple knapsacks, where an arriving item has a different size in each knapsack. We derive a 0.2142-competitive algorithm for this problem. We also show that any randomized algorithm for this problem cannot be more than 0.4605-competitive. This is the first upper bound strictly less than 0.5, which implies the intrinsic challenge of knapsack constraint. We show how to naturally implement our optimal threshold distributions in the warehouses of a Latin American chain department store. We run simulations on their order data, which demonstrate the efficacy of our proposed algorithms.

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arXiv2025

Tightness without Counterexamples: A New Approach and New Results for Prophet Inequalities

Prophet inequalities consist of many beautiful statements that establish tight performance ratios between online and offline allocation algorithms. Typically, tightness is established by constructing an algorithmic guarantee and a worst-case instance separately, whose bounds match as a result of some "ingenuity". In this paper, we instead formulate the construction of the worst-case instance as an optimization problem, which directly finds the tight ratio without needing to construct two bounds separately. Our analysis of this complex optimization problem involves identifying structure in a new "Type Coverage" dual problem. It can be seen as akin to the celebrated Magician and OCRS (Online Contention Resolution Scheme) problems, except more general in that it can also provide tight ratios relative to the optimal offline allocation, whereas the earlier problems only establish tight ratios relative to the ex-ante relaxation of the offline problem. Through this analysis, our paper provides a unified framework that derives new prophet inequalities and recovers existing ones, with our principal results being two-fold. First, we show that the "oblivious" method of setting a static threshold due to Chawla et al. (2020), surprisingly, is best-possible among all static threshold algorithms, under any number $k$ of starting units. We emphasize that this result is derived without needing to explicitly find any counterexample instances. This implies the tightness of the asymptotic convergence rate of $1-O(\sqrt{\log k/k})$ for static threshold algorithms, which dates back to from Hajiaghayi et al. (2007). Turning to the IID setting, our second principal result is to use our framework to characterize the tight guarantee (of adaptive algorithms) under any number $k$ of selection slots and any fixed number of agents $n$.

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arXiv2025

Forward-backward Contention Resolution Schemes for Fair Rationing

We use contention resolution schemes (CRS) to derive algorithms for the fair rationing of a single resource when agents have stochastic demands. We aim to provide ex-ante guarantees on the level of service provided to each agent, who may measure service in different ways (Type-I, II, or III), calling for CRS under different feasibility constraints (rank-1 matroid or knapsack). We are particularly interested in two-order CRS where the agents are equally likely to arrive in a known forward order or its reverse, which is motivated by online rationing at food banks. In particular, we derive a two-order CRS for rank-1 matroids with guarantee $1/(1+e^{-1/2})\approx 0.622$, which we prove is tight. This improves upon the $1/2$ guarantee that is best-possible under a single order (Alaei, SIAM J. Comput. 2014), while achieving separation with the $1-1/e\approx 0.632$ guarantee that is possible for random-order CRS (Lee and Singla, ESA 2018). Because CRS guarantees imply prophet inequalities, this also beats the two-order prophet inequality with ratio $(\sqrt{5}-1)/2\approx 0.618$ from (Arsenis, SODA 2021), which was tight for single-threshold policies. Rank-1 matroids suffice to provide guarantees under Type-II or III service, but Type-I service requires knapsack. Accordingly, we derive a two-order CRS for knapsack with guarantee $1/3$, improving upon the $1/(3+e^{-2})\approx 0.319$ guarantee that is best-possible under a single order (Jiang et al., SODA 2022). To our knowledge, $1/3$ provides the best-known guarantee for knapsack CRS even in the offline setting. Finally, we provide an upper bound of $1/(2+e^{-1})\approx 0.422$ for two-order knapsack CRS, strictly smaller than the upper bound of $(1-e^{-2})/2\approx0.432$ for random-order knapsack CRS.

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arXiv2025

Fair Secretaries with Unfair Predictions

Algorithms with predictions is a recent framework for decision-making under uncertainty that leverages the power of machine-learned predictions without making any assumption about their quality. The goal in this framework is for algorithms to achieve an improved performance when the predictions are accurate while maintaining acceptable guarantees when the predictions are erroneous. A serious concern with algorithms that use predictions is that these predictions can be biased and, as a result, cause the algorithm to make decisions that are deemed unfair. We show that this concern manifests itself in the classical secretary problem in the learning-augmented setting -- the state-of-the-art algorithm can have zero probability of accepting the best candidate, which we deem unfair, despite promising to accept a candidate whose expected value is at least $\max\{Ω(1) , 1 - O(ε)\}$ times the optimal value, where $ε$ is the prediction error. We show how to preserve this promise while also guaranteeing to accept the best candidate with probability $Ω(1)$. Our algorithm and analysis are based on a new "pegging" idea that diverges from existing works and simplifies/unifies some of their results. Finally, we extend to the $k$-secretary problem and complement our theoretical analysis with experiments.

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arXiv2025

Degeneracy is OK: Logarithmic Regret for Network Revenue Management with Indiscrete Distributions

We study the classical Network Revenue Management (NRM) problem with accept/reject decisions and $T$ IID arrivals. We consider a distributional form where each arrival must fall under a finite number of possible categories, each with a deterministic resource consumption vector, but a random value distributed continuously over an interval. We develop an online algorithm that achieves $O(\log^2 T)$ regret under this model, with the only (necessary) assumption being that the probability densities are bounded away from 0. We derive a second result that achieves $O(\log T)$ regret under an additional assumption of second-order growth. To our knowledge, these are the first results achieving logarithmic-level regret in an NRM model with continuous values that do not require any kind of "non-degeneracy" assumptions. Our results are achieved via new techniques including a new method of bounding myopic regret, a "semi-fluid" relaxation of the offline allocation, and an improved bound on the "dual convergence".

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arXiv2025

Beyond IID: data-driven decision-making in heterogeneous environments

How should one leverage historical data when past observations are not perfectly indicative of the future, e.g., due to the presence of unobserved confounders which one cannot "correct" for? Motivated by this question, we study a data-driven decision-making framework in which historical samples are generated from unknown and different distributions assumed to lie in a heterogeneity ball with known radius and centered around the (also) unknown future (out-of-sample) distribution on which the performance of a decision will be evaluated. This work aims at analyzing the performance of central data-driven policies but also near-optimal ones in these heterogeneous environments and understanding key drivers of performance. We establish a first result which allows to upper bound the asymptotic worst-case regret of a broad class of policies. Leveraging this result, for any integral probability metric, we provide a general analysis of the performance achieved by Sample Average Approximation (SAA) as a function of the radius of the heterogeneity ball. This analysis is centered around the approximation parameter, a notion of complexity we introduce to capture how the interplay between the heterogeneity and the problem structure impacts the performance of SAA. In turn, we illustrate through several widely-studied problems -- e.g., newsvendor, pricing -- how this methodology can be applied and find that the performance of SAA varies considerably depending on the combinations of problem classes and heterogeneity. The failure of SAA for certain instances motivates the design of alternative policies to achieve rate-optimality. We derive problem-dependent policies achieving strong guarantees for the illustrative problems described above and provide initial results towards a principled approach for the design and analysis of general rate-optimal algorithms.

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arXiv2024

Randomized Rounding Approaches to Online Allocation, Sequencing, and Matching

Randomized rounding is a technique that was originally used to approximate hard offline discrete optimization problems from a mathematical programming relaxation. Since then it has also been used to approximately solve sequential stochastic optimization problems, overcoming the curse of dimensionality. To elaborate, one first writes a tractable linear programming relaxation that prescribes probabilities with which actions should be taken. Rounding then designs a (randomized) online policy that approximately preserves all of these probabilities, with the challenge being that the online policy faces hard constraints, whereas the prescribed probabilities only have to satisfy these constraints in expectation. Moreover, unlike classical randomized rounding for offline problems, the online policy's actions unfold sequentially over time, interspersed by uncontrollable stochastic realizations that affect the feasibility of future actions. This tutorial provides an introduction for using randomized rounding to design online policies, through four self-contained examples representing fundamental problems in the area: online contention resolution, stochastic probing, stochastic knapsack, and stochastic matching.

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arXiv2024

Online Bipartite Matching with Advice: Tight Robustness-Consistency Tradeoffs for the Two-Stage Model

Two-stage bipartite matching is a fundamental problem of optimization under uncertainty introduced by Feng, Niazadeh, and Saberi (2021), who study it under the stochastic and adversarial paradigms of uncertainty. We propose a method to interpolate between these paradigms, using the Algorithms with Predictions (ALPS) framework. To elaborate, given some form of information (e.g. a distributional prediction) about the uncertainty, we consider the optimal decision assuming that information is correct to be some "advice", whose accuracy is unknown. In the ALPS framework, we define Consistency to be an algorithm's performance relative to the advice, and Robustness to be an algorithm's performance relative to the hindsight-optimal decision. We characterize the tight tradeoff between Consistency and Robustness for four settings of two-stage matching: unweighted, vertex-weighted, edge-weighted, and fractional budgeted allocation. Additionally, we show our algorithm achieves state-of-the-art performance in both synthetic and real-data simulations.

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arXiv2024

Sample Complexity of Posted Pricing for a Single Item

Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical and do not work for sequential buyers, posted pricing mechanisms, where fixed prices are set for the item for different buyers, have emerged as a practical and effective alternative. This paper investigates how many samples are needed from buyers' value distributions to find near-optimal posted prices, considering both independent and correlated buyer distributions, and welfare versus revenue maximization. We obtain matching upper and lower bounds (up to logarithmic factors) on the sample complexity for all these settings.

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arXiv2024

Optimizing for Strategy Diversity in the Design of Video Games

We consider the problem of designing a linear program that has diverse solutions as the right-hand side varies. This problem arises in video game settings where designers aim to have players use different "weapons" or "tactics" as they progress. We model this design question as a choice over the constraint matrix $A$ and cost vector $c$ to maximize the number of possible \emph{supports} of unique optimal solutions (what we call "loadouts") of Linear Programs $\max\{c^\top x \mid Ax \le b, x \ge 0\}$ with nonnegative data considered over all resource vectors $b$. We provide an upper bound on the optimal number of loadouts and provide a family of constructions that have an asymptotically optimal number of loadouts. The upper bound is based on a connection between our problem and the study of triangulations of point sets arising from polyhedral combinatorics, and specifically the combinatorics of the cyclic polytope. Our asymptotically optimal construction also draws inspiration from the properties of the cyclic polytope.

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arXiv2024

On (Random-order) Online Contention Resolution Schemes for the Matching Polytope of (Bipartite) Graphs

Online Contention Resolution Schemes (OCRS's) represent a modern tool for selecting a subset of elements, subject to resource constraints, when the elements are presented to the algorithm sequentially. OCRS's have led to some of the best-known competitive ratio guarantees for online resource allocation problems, with the added benefit of treating different online decisions -- accept/reject, probing, pricing -- in a unified manner. This paper analyzes OCRS's for resource constraints defined by matchings in graphs, a fundamental structure in combinatorial optimization. We consider two dimensions of variants: the elements being presented in adversarial or random order; and the graph being bipartite or general. We improve the state of the art for all combinations of variants, both in terms of algorithmic guarantees and impossibility results. Some of our algorithmic guarantees are best-known even compared to Contention Resolution Schemes that can choose the order of arrival or are offline. All in all, our results for OCRS directly improve the best-known competitive ratios for online accept/reject, probing, and pricing problems on graphs in a unified manner.

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arXiv2023

Random-order Contention Resolution via Continuous Induction: Tightness for Bipartite Matching under Vertex Arrivals

We introduce a new approach for designing Random-order Contention Resolution Schemes (RCRS) via exact solution in continuous time. Given a function $c(y):[0,1] \rightarrow [0,1]$, we show how to select each element which arrives at time $y \in [0,1]$ with probability exactly $c(y)$. We provide a rigorous algorithmic framework for achieving this, which discretizes the time interval and also needs to sample its past execution to ensure these exact selection probabilities. We showcase our framework in the context of online contention resolution schemes for matching with random-order vertex arrivals. For bipartite graphs with two-sided arrivals, we design a $(1+e^{-2})/2 \approx 0.567$-selectable RCRS, which we also show to be tight. Next, we show that the presence of short odd-length cycles is the only barrier to attaining a (tight) $(1+e^{-2})/2$-selectable RCRS on general graphs. By generalizing our bipartite RCRS, we design an RCRS for graphs with odd-length girth $g$ which is $(1+e^{-2})/2$-selectable as $g \rightarrow \infty$. This convergence happens very rapidly: for triangle-free graphs (i.e., $g \ge 5$), we attain a $121/240 + 7/16 e^2 \approx 0.563$-selectable RCRS. Finally, for general graphs we improve on the $8/15 \approx 0.533$-selectable RCRS of Fu et al. (ICALP, 2021) and design an RCRS which is at least $0.535$-selectable. Due to the reduction of Ezra et al. (EC, 2020), our bounds yield a $0.535$-competitive (respectively, $(1+e^{-2})/2$-competitive) algorithm for prophet secretary matching on general (respectively, bipartite) graphs under vertex arrivals.

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arXiv2023

Selection and Ordering Policies for Hiring Pipelines via Linear Programming

Motivated by hiring pipelines, we study three selection and ordering problems in which applicants for a finite set of positions must be interviewed or sent offers. There is a finite time budget for interviewing/sending offers, and every interview/offer is followed by a stochastic realization of discovering the applicant's quality or acceptance decision, leading to computationally challenging problems. In the first problem, we study sequential interviewing and show that a computationally tractable, non-adaptive policy that must make offers immediately after interviewing is near-optimal, assuming offers are always accepted. We further show how to use this policy as a subroutine for obtaining a PTAS. In the second problem, we assume that applicants have already been interviewed but only accept offers with some probability; we develop a computationally tractable policy that makes offers for the different positions in parallel, which can be used even if positions are heterogeneous, and is near-optimal relative to a policy that can make the same total number of offers one by one. In the third problem, we introduce a parsimonious model of overbooking where all offers must be sent simultaneously and a linear penalty is incurred for each acceptance beyond the number of positions; we provide nearly tight bounds on the performance of practically motivated value-ordered policies. All in all, our paper takes a unified approach to three different hiring problems, based on linear programming. Our results in the first two problems generalize and improve the existing guarantees due to Purohit et al. (2019) that were between 1/8 and 1/2 to new guarantees that are at least 1-1/e. We also numerically compare three different settings of making offers to candidates (sequentially, in parallel, or simultaneously), providing insight into when a firm should favor each one.

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arXiv2023

Tight Guarantees for Multi-unit Prophet Inequalities and Online Stochastic Knapsack

Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of $k$-unit prophet inequalities, the well-known procedure of Alaei (2011) with its celebrated performance guarantee of $1-\frac{1}{\sqrt{k+3}}$ has found widespread adoption in mechanism design and general online allocation problems in online advertising, healthcare scheduling, and revenue management. Despite being commonly used to derive approximately-optimal algorithms for multi-resource allocation problems, the tightness of Alaei's guarantee has remained unknown. In this paper characterize the tight guarantee in Alaei's setting, which we show is in fact strictly greater than $1-\frac{1}{\sqrt{k+3}}$ for all $k>1$. We also consider the more general online stochastic knapsack problem where each individual allocation can consume an arbitrary fraction of the initial capacity. Here we introduce a new ``best-fit'' procedure with a performance guarantee of $\frac{1}{3+e^{-2}}\approx0.319$, which we also show is tight with respect to the standard LP relaxation. This improves the previously best-known guarantee of 0.2 for online knapsack. Our analysis differs from existing ones by eschewing the need to split items into ``large'' or ``small'' based on capacity consumption, using instead an invariant for the overall utilization on different sample paths. Finally, we refine our technique for the unit-density special case of knapsack, and improve the guarantee from 0.321 to 0.3557 in the multi-resource appointment scheduling application of Stein et al. (2020).

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arXiv2023

Online Matching Frameworks under Stochastic Rewards, Product Ranking, and Unknown Patience

We study generalizations of online bipartite matching in which each arriving vertex (customer) views a ranked list of offline vertices (products) and matches to (purchases) the first one they deem acceptable. The number of products that the customer has patience to view can be stochastic and dependent on the products seen. We develop a framework that views the interaction with each customer as an abstract resource consumption process, and derive new results for these online matching problems under the adversarial, non-stationary, and IID arrival models, assuming we can (approximately) solve the product ranking problem for each single customer. To that end, we show new results for product ranking under two cascade-click models: an optimal algorithm when each item has its own hazard rate for making the customer depart, and a 1/2-approximate algorithm when the customer has a general item-independent patience distribution. We also present a constant-factor 0.027-approximate algorithm in a new model where items are not initially available and arrive over time. We complement these positive results by presenting three additional negative results relating to these problems.

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