Determining Optimal Stationary Strategies for Discounted Stochastic Optimal Control Problem on Networks
Dmitrii Lozovanu, Stefan Pickl · Cologne Twente Workshop on Graphs and Combinatorial Optimization · 2010
The stochastic version of discrete optimal control problem with infinite time horizon and discounted integral-time cost criterion is considered. This problem is formulated and studied on certain networks. A polynomial time algorithm for determining the optimal stationary strategies for the considered problems is proposed and some applications of the algorithm for related Markov decision problems are described.