I.i.d. Prophet Inequalities with Discounted Rewards: As Hard as the Non-i.i.d. Case
For researchers in online decision-making, it reveals that mild nonstationarity (discounting) can make i.i.d. problems as hard as adversarial ones, overturning a key assumption in prophet inequality theory.
The paper shows that even arbitrarily weak discounting in i.i.d. prophet inequalities destroys the classical 1-1/e guarantee, forcing a fundamental 1/2 barrier that matches the non-i.i.d. case. This transition is proven for single-quantile thresholds and arbitrary stopping rules, with tight algorithms provided.
We study prophet inequalities with discounted rewards, where i.i.d. base rewards are multiplicatively discounted over time. Our main message is that even this structured and arbitrarily weak form of nonstationarity can erase the classical advantage of the stationary i.i.d. setting. Focusing on single-quantile threshold policies, we show that the competitive ratio transitions from the classical $1-1/e$ guarantee to a fundamental $1/2$ barrier as discounting accumulates over many phases in a canonical regime with a common-decay factor and equal-length phases. We further show that, in the same regime, the $1/2$ barrier persists even for arbitrary stopping rules. Consequently, i.i.d. base rewards under discounting can be as hard as the fully non-i.i.d. case. On the algorithmic side, we design single-quantile threshold rules that attain the tight bounds by calibrating acceptance decisions to an effective horizon induced by discounting, and we extend this calibration to heterogeneous decay factors and unequal phase lengths. We further show that a similar discontinuous breakdown persists in an infinite-horizon continuous-decay benchmark, where arbitrarily weak decay collapses the stationary benchmark from $1$ to $1/2$.