IMCS/Publications/BASM/Issues/BASM n.2 (60), 2009/

Dynamic Programming Algorithms for Solving Stochastic Discrete Control Problems.

Authors: Lozovanu Dmitrii, Stefan Pickl


The stochastic versions of classical discrete optimal control problems are formulated and studied. Approaches for solving the stochastic versions of optimal control problems based on concept of Markov processes and dynamic programming are suggested. Algorithms for solving the problems on stochastic networks using such approaches and time-expended network method are proposed.

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