| Article ID: | iaor20013550 |
| Country: | Germany |
| Volume: | 51 |
| Issue: | 3 |
| Start Page Number: | 419 |
| End Page Number: | 432 |
| Publication Date: | Jan 2000 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Wakuta K. |
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.