Online Algorithms for Repeated Optimal Stopping: Achieving Both Competitive Ratio and Regret Bounds

We study the repeated optimal stopping problem, which generalizes the classical optimal stopping problem with an unknown distribution to a setting where the same problem is solved repeatedly over $T$ rounds. In this framework, we aim to design algorithms that guarantee a competitive ratio in each round while also achieving sublinear regret across all rounds. Our primary contribution is a general algorithmic framework that achieves these objectives simultaneously for a wide array of repeated optimal stopping problems. The core idea is to dynamically select an algorithm for each round, choosing between two candidates: (1) an empirically optimal algorithm derived from the history of observations, and (2) a sample-based algorithm with a proven competitive ratio guarantee. Based on this approach, we design an algorithm that performs no worse than the baseline sample-based algorithm in every round, while ensuring that the total regret is bounded by $\tilde{O}(\sqrt{T})$. We demonstrate the broad applicability of our framework to canonical problems, including the prophet inequality, the secretary problem, and their variants under adversarial, random, and i.i.d. input models. For example, for the repeated prophet inequality problem, our method achieves a $1/2$-competitive ratio from the second round on and an $\tilde{O}(\sqrt{T})$ regret. Furthermore, we establish a regret lower bound of $\Omega(\sqrt{T})$ even in the i.i.d. model, confirming that our algorithm's performance is almost optimal with respect to the number of rounds.

Bandit Max-Min Fair Allocation

In this paper, we study a new decision-making problem called the bandit max-min fair allocation (BMMFA) problem. The goal of this problem is to maximize the minimum utility among agents with additive valuations by repeatedly assigning indivisible goods to them. One key feature of this problem is that each agent's valuation for each item can only be observed through the semi-bandit feedback, while existing work supposes that the item values are provided at the beginning of each round. Another key feature is that the algorithm's reward function is not additive with respect to rounds, unlike most bandit-setting problems. Our first contribution is to propose an algorithm that has an asymptotic regret bound of $O(m\sqrt{T}\ln T/n + m\sqrt{T \ln(mnT)})$, where $n$ is the number of agents, $m$ is the number of items, and $T$ is the time horizon. This is based on a novel combination of bandit techniques and a resource allocation algorithm studied in the literature on competitive analysis. Our second contribution is to provide the regret lower bound of $\Omega(m\sqrt{T}/n)$. When $T$ is sufficiently larger than $n$, the gap between the upper and lower bounds is a logarithmic factor of $T$.