A stochastic optimal path selection problem†

Abstract

A solution is presented for determining the optimal path through a set of N discrete points, subject to constraints on the path. The benefit derived by including a given point on the path depends upon the stochastic state at that point. The optimal path is the one that maximized the total expected pay-off. Three types of probability distributions are discussed and examples are included. A brief discussion of computer requirements is also presented.

Notes

†Communicated by Dr. A. T. Fuller.