Static pricing for multi-unit prophet inequalities (2007.07990v4)

Abstract: We study a pricing problem where a seller has $k$ identical copies of a product, buyers arrive sequentially, and the seller prices the items aiming to maximize social welfare. When $k=1$, this is the so called "prophet inequality" problem for which there is a simple pricing scheme achieving a competitive ratio of $1/2$. On the other end of the spectrum, as $k$ goes to infinity, the asymptotic performance of both static and adaptive pricing is well understood. We provide a static pricing scheme for the small-supply regime: where $k$ is small but larger than $1$. Prior to our work, the best competitive ratio known for this setting was the $1/2$ that follows from the single-unit prophet inequality. Our pricing scheme is easy to describe as well as practical -- it is anonymous, non-adaptive, and order-oblivious. We pick a single price that equalizes the expected fraction of items sold and the probability that the supply does not sell out before all customers are served; this price is then offered to each customer while supply lasts. This extends an approach introduced by Samuel-Cahn for the case of $k=1$. This pricing scheme achieves a competitive ratio that increases gradually with the supply. Subsequent work by Jiang, Ma, and Zhang shows that our pricing scheme is the optimal static pricing for every value of $k$.