Algorithms for solving discrete optimal control problems with infinite time horizon and determining minimal mean cost cycles in a directed graph as decision support tool

Algorithms for solving discrete optimal control problems with infinite time horizon and determining minimal mean cost cycles in a directed graph as decision support tool

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Article ID: iaor200971035
Country: Germany
Volume: 17
Issue: 3
Start Page Number: 255
End Page Number: 264
Publication Date: Sep 2009
Journal: Central European Journal of Operations Research
Authors: ,
Abstract:

Time-discrete systems with a finite set of states are considered. Discrete optimal control problems with infinite time horizon for such systems are formulated. We introduce a certain graph-theoretic structure to model the transitions of the dynamical system. Algorithms for finding the optimal stationary control parameters are presented. Furthermore, we determine the optimal mean cost cycles. This approach can be used as a decision support strategy within such a class of problems; especially so-called multilayered decision problems which occur within environmental emission trading procedures can be modelled by such an approach.

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