IDEAS home Printed from https://ideas.repec.org/a/spr/mathme/v57y2003i1p79-88.html
   My bibliography  Save this article

Minimizing risk models in stochastic shortest path problems

Author

Listed:
  • Yoshio Ohtsubo

Abstract

We consider a minimizing risk model in a stochastic shortest path problem in which for each node of a graph we select a probability distribution over the set of successor nodes so as to reach a given target node with minimum threshold probability. We formulate such a problem as undiscounted finite Markov decision processes. We show that an optimal value function is a unique solution to an optimality equation and find an optimal stationary policy. A value iteration method is also given. Copyright Springer-Verlag Berlin Heidelberg 2003

Suggested Citation

  • Yoshio Ohtsubo, 2003. "Minimizing risk models in stochastic shortest path problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 57(1), pages 79-88, April.
  • Handle: RePEc:spr:mathme:v:57:y:2003:i:1:p:79-88
    DOI: 10.1007/s001860200246
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s001860200246
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/s001860200246?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Özlem Çavuş & Andrzej Ruszczyński, 2014. "Computational Methods for Risk-Averse Undiscounted Transient Markov Models," Operations Research, INFORMS, vol. 62(2), pages 401-417, April.
    2. Rashed Khanjani-Shiraz & Ali Babapour-Azar & Zohreh Hosseini-Noudeh & Panos M. Pardalos, 2022. "Distributionally robust maximum probability shortest path problem," Journal of Combinatorial Optimization, Springer, vol. 43(1), pages 140-167, January.
    3. Yueyue Fan & Yu Nie, 2006. "Optimal Routing for Maximizing the Travel Time Reliability," Networks and Spatial Economics, Springer, vol. 6(3), pages 333-344, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mathme:v:57:y:2003:i:1:p:79-88. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.