Knowing When to Stop Matters: A Unified Algorithm for Online Conversion under Horizon Uncertainty

• URL: http://arxiv.org/abs/2502.03817v1
• Date: Thu, 06 Feb 2025 07:06:06 GMT
• Title: Knowing When to Stop Matters: A Unified Algorithm for Online Conversion under Horizon Uncertainty
• Authors: Yanzhao Wang, Hasti Nourmohammadi Sigaroudi, Bo Sun, Omid Ardakanian, Xiaoqi Tan,
• Abstract summary: A key challenge in online conversion is managing decisions under horizon uncertainty.<n>We propose a unified algorithm that achieves optimal competitive guarantees across these horizon models.<n>We extend the algorithm to a learning-augmented version, leveraging horizon predictions to adaptively balance performance.
• Score: 3.6118546479656772
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This paper investigates the online conversion problem, which involves sequentially trading a divisible resource (e.g., energy) under dynamically changing prices to maximize profit. A key challenge in online conversion is managing decisions under horizon uncertainty, where the duration of trading is either known, revealed partway, or entirely unknown. We propose a unified algorithm that achieves optimal competitive guarantees across these horizon models, accounting for practical constraints such as box constraints, which limit the maximum allowable trade per step. Additionally, we extend the algorithm to a learning-augmented version, leveraging horizon predictions to adaptively balance performance: achieving near-optimal results when predictions are accurate while maintaining strong guarantees when predictions are unreliable. These results advance the understanding of online conversion under various degrees of horizon uncertainty and provide more practical strategies to address real world constraints.

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