Label-setting methods for Multimode Stochastic Shortest Path problems on graphs

Details Label-setting methods for Multimode Stochastic Shortest Path problems on graphs Label-setting methods for Multimode Stochastic Shortest Path problems on graphs

2007-07-03

arxiv.org/abs/0707.0335v2

Mathematics

Optimization and Control

20 pages; 7 figures; submitted to "Mathematics of Operations Research"; minor changes & restructuring in accordance with revie

Scientific paper

Stochastic shortest path (SSP) problems arise in a variety of discrete stochastic control contexts. An optimal solutions to such a problem is typically computed using the value function, which can be found by solving the corresponding dynamic programming equations. In the deterministic case, these equations can be often solved by the highly efficient label-setting methods (such as Dijkstra's and Dial's algorithms). In this paper we define and study a class of Multimode Stochastic Shortest Path problems and develop sufficient conditions for the applicability of label-setting methods. We illustrate our approach on a number of discrete stochastic control examples. We also discuss the relationship of SSPs with discretizations of static Hamilton-Jacobi equations and provide an alternative derivation for several fast (non-iterative) numerical methods for these PDEs.

Affiliated with

Also associated with

No associations

Rating

Label-setting methods for Multimode Stochastic Shortest Path problems on graphs does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Label-setting methods for Multimode Stochastic Shortest Path problems on graphs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Label-setting methods for Multimode Stochastic Shortest Path problems on graphs will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-178998