Online Resource Allocation under Horizon Uncertainty
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We study stochastic online resource allocation: a decision maker needs to allocate limited resources to stochastically-generated sequentially-arriving requests in order to maximize reward. Motivated by practice, we consider a data-driven setting in which requests are drawn independently from a distribution that is unknown to the decision maker. Online resource allocation and its special cases have been studied extensively in the past, but these previous results crucially and universally rely on a practically-untenable assumption: the total number of requests (the horizon) is known to the decision maker in advance. In many applications, such as revenue management and online advertising, the number of requests can vary widely because of fluctuations in demand or user traffic intensity. In this work, we develop online algorithms that are robust to horizon uncertainty. In sharp contrast to the known-horizon setting, we show that no algorithm can achieve a constant asymptotic competitive ratio that is independent of the horizon uncertainty. We then introduce a novel algorithm that combines dual mirror descent with a carefully-chosen target consumption sequence and prove that it achieves a bounded competitive ratio. Our algorithm is near-optimal in the sense that its competitive ratio attains the optimal rate of growth when the horizon uncertainty grows large.
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