A first-passage problem with multiple costs |
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| Authors: | Kazuyoshi Wakuta |
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| Affiliation: | (1) Nagaoka Technical College, 888 Nishikatakai, Nagaoka, Niigata 940-8532, Japan (e-mail: wakuta@nagaoka-ct.ac.jp), JP |
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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. Manuscript received: April 1999 / Final version received: February 2000 |
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| Keywords: | : First-passage problem multiple costs policy iteration algorithm |
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