A first-passage problem with multiple costs

Kazuyoshi Wakuta

Mathematical Methods of Operations Research, 2000, vol. 51, issue 3, 419-432

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. Copyright Springer-Verlag Berlin Heidelberg 2000

Keywords: Key words: First-passage problem; multiple costs; policy iteration algorithm (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:51:y:2000:i:3:p:419-432

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DOI: 10.1007/s001860000051

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