Abstract
We present a method to transform any optimal stopping time problem with an underlying tree structure into an s-t min-cut problem on the same tree but with modified capacities, the details of which are lacking in existing optimal stopping time research. We also show that any s-t min/max-cut problem on a tree has an equivalent optimal stopping problem formulation. We provide a dynamic programming algorithm to solve this problem and also perform a sensitivity analysis on it. Our results imply that the s-t max-cut problem on a tree can be solved using an algorithm with runtime that is linear in the tree size.
Original language | English (US) |
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Pages (from-to) | 3729-3734 |
Number of pages | 6 |
Journal | IEEE Control Systems Letters |
Volume | 7 |
DOIs | |
State | Published - 2023 |
Keywords
- Optimization algorithms
- optimization
- stochastic optimal control
ASJC Scopus subject areas
- Control and Optimization
- Control and Systems Engineering