Optimal Single-Choice Prophet Inequalities from Samples

Abstract

We study the single-choice Prophet Inequality problem when the gambler is given access to samples. We show that the optimal competitive ratio of 1/2 can be achieved with a single sample from each distribution. When the distributions are identical, we show that for any constant ε > 0, O(n) samples from the distribution suffice to achieve the optimal competitive ratio (≈ 0.745) within (1+ε), resolving an open problem of [José R. Correa et al., 2019].