Optimal stationary control of discrete processes and a polynomial time algorithm for stochastic control problem on networks | Zendy

Dmitrii Lozovanu | Zendy; Stefan Pickl | Zendy

Open Access

Optimal stationary control of discrete processes and a polynomial time algorithm for stochastic control problem on networks

Author(s) -

Dmitrii Lozovanu,

Stefan Pickl

Publication year - 2010

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2010.04.157

Subject(s) - computer science , discrete time and continuous time , optimal control , set (abstract data type) , class (philosophy) , mathematical optimization , stochastic control , polynomial , time complexity , control (management) , algorithm , mathematics , artificial intelligence , mathematical analysis , statistics , programming language

The stochastic version of classical discrete optimal control problems with a finite set of states and infinite time horizon is studied. An approach for determining the optimal stationary control in discrete processes with deterministic and random states’ transitions of the dynamical system is described. The main problem is formulated on networks and a polynomial time algorithm for its solving is proposed. An application of the proposed algorithm for a class of stochastic decision problems is described

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