Algorithms for solving stochastic discrete optimal control problems on networks

Dmitrii Lozovanu^a, Maria Capcelea<sup>b

a</sup> Institute of Mathematics and Computer Science, Academy of Sciences of Moldova, 5, Academiei str., Chisinau, MD-2028, Moldova
^b Moldova State University, 60, Mateevici str., Chisinau, MD-2009, Moldova

Abstract: In this paper we consider the stationary stochastic discrete optimal control problem with average cost criterion. We formulate this problem on networks and propose polynomial time algorithms for determining the optimal control by using a linear programming approach.

Keywords and phrases: time-discrete system, optimal control, stochastic network, Markov process, optimal strategy, linear programming.

MSC: 93E20, 90C05

Received: 10.09.2014

Language: English