Prophet Inequality with Competing Agents

We introduce a model of competing agents in a prophet setting, where rewards arrive online, and decisions are made immediately and irrevocably. The rewards are unknown from the outset, but they are drawn from a known probability distribution. In the standard prophet setting, a single agent makes selection decisions in an attempt to maximize her expected reward. The novelty of our model is the introduction of a competition setting, where multiple agents compete over the arriving rewards, and make online selection decisions simultaneously, as rewards arrive. If a given reward is selected by more than a single agent, ties are broken either randomly or by a fixed ranking of the agents. The consideration of competition turns the prophet setting from an online decision making scenario to a multi-agent game. For both random and ranked tie-breaking rules, we present simple threshold strategies for the agents that give them high guarantees, independent of the strategies taken by others. In particular, for random tie-breaking, every agent can guarantee herself at least 1k+1 of the highest reward, and at least 12k of the optimal social welfare. For ranked tie-breaking, the ith ranked agent can guarantee herself at least a half of the ith highest reward. We complement these results by matching upper bounds, even with respect to equilibrium profiles. For ranked tie-breaking rule, we also show a correspondence between the equilibrium of the k-agent game and the optimal strategy of a single decision maker who can select up to k rewards.