Prophet Inequalities via Linear Programming

Abstract: Prophet inequalities bound the expected reward that can be obtained in a stopping problem by the optimal reward of its corresponding off-line version. We propose a systematic technique for deriving prophet inequalities for stopping problems associated with selecting a point in a polyhedron. It utilizes a reduced-form linear programming representation of the stopping problem. We illustrate the technique to derive a number of known results as well as some new ones. For instance, we prove a $\frac{1}{2}$-prophet inequality when the underlying polyhedron is an on-line polymatroid; one whose underlying submodular function depends upon the realized rewards. We also demonstrate a composition by the Minkowski sum property. If an $r-$ prophet inequality holds for polyhedra $P^1$ and $P^2$, it also holds for their Minkowski sum.