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A first-passage problem with multiple costs

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Abstract.

We study the first-passage problem with multiple costs. We characterize an optimal deterministic stationary policy via the systems of linear inequalities and present a policy iteration algorithm for finding all optimal deterministic stationary policies. The algorithm is illustrated by a numerical example.

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Authors and Affiliations

  1. Nagaoka Technical College, 888 Nishikatakai, Nagaoka, Niigata 940-8532, Japan (e-mail: wakuta@nagaoka-ct.ac.jp), , , , , , JP

    Kazuyoshi Wakuta

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  1. Kazuyoshi Wakuta
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Manuscript received: April 1999 / Final version received: February 2000

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Wakuta, K. A first-passage problem with multiple costs. Mathematical Methods of OR 51, 419–432 (2000). https://doi.org/10.1007/s001860000051

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  • DOI: https://doi.org/10.1007/s001860000051

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