Optimal stationary control of discrete processes and a polynomial time algorithm for stochastic control problem on networks

摘要

The stochastic version of classical discrete optimal control problems with a finite set of states and infinite time horizon is studied. An approach for determining the optimal stationary control in discrete processes with deterministic and random states’ transitions of the dynamical system is described. The main problem is formulated on networks and a polynomial time algorithm for its solving is proposed. An application of the proposed algorithm for a class of stochastic decision problems is described.