Finding a compromise between viability maximization and cost minimization: A stochastic dynamic programming algorithm
Trouver des compromis entre maximisation de la viabilité et minimisation du coût : un algorithme de programmation dynamique
Abstract
In a stochastic controlled dynamical system, stochastic dynamic programming is used for either cost minimization or viability maximization. We propose a change in variables that enables the minimization of a linear combination of expected costs and exit probabilities, thus effectively combining the expected value and worst-case approaches to a problem. The resulting algorithm facilitates the discussion of the possible trade-offs between the two kind of objectives through an example of water supply from a reservoir.