JournalsifbVol. 16, No. 1pp. 1–40

Deterministic control of randomly-terminated processes

  • June Andrews

    Cornell University, Ithaca, USA
  • Alexander Vladimirsky

    Cornell University, Ithaca, United States
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Abstract

We consider both discrete and continuous “uncertain horizon” deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes, explore their connections to infinite-horizon and optimal-stopping problems, and derive sufficient conditions for the applicability of non-iterative (label-setting) methods. In the continuous case, the resulting PDE has a free boundary, on which all characteristic curves originate. The causal properties of “uncertain horizon” problems can be exploited to design efficient numerical algorithms: we derive causal semi-Lagrangian and Eulerian discretizations for the isotropic randomly-terminated problems, and use them to build a modified version of the Fast Marching Method. We illustrate our approach using numerical examples from optimal idle-time processing and expected response-time minimization.

Cite this article

June Andrews, Alexander Vladimirsky, Deterministic control of randomly-terminated processes. Interfaces Free Bound. 16 (2014), no. 1, pp. 1–40

DOI 10.4171/IFB/312