Competitive Online Optimization under Inventory Constraints

Abstract

This paper studies online optimization under inventory (budget) constraints. While online optimization is a well-studied topic, versions with inventory constraints have proven difficult. We consider a formulation of inventory-constrained optimization that is a generalization of the classic one-way trading problem and has a wide range of applications. We present a new algorithmic framework, CR-Pursuit, and prove that it achieves the minimal competitive ratio among all deterministic algorithms (up to a problemdependent constant factor) for inventory-constrained online optimization. Our algorithm and its analysis not only simplify and unify the state-of-the-art results for the standard one-way trading problem, but they also establish novel bounds for generalizations including concave revenue functions. For example, for one-way trading with price elasticity , the CR-Pursuit algorithm achieves a competitive ratio that is within a small additive constant (i.e., 1/3) to the lower bound of ln θ + 1, where θ is the ratio between the maximum and minimum base prices.