A first-passage problem with multiple costs

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

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Year of publication:	2000
Authors:	Wakuta, Kazuyoshi
Published in:	Computational Statistics. - Springer. - Vol. 51.2000, 3, p. 419-432
Publisher:	Springer
Subject:	First-passage problem \| multiple costs \| policy iteration algorithm

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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