Controlled Markov Chains, Graphs, and Hamiltonicity

Author(s): Jerzy A. Filar

Source:
    Journal:Foundations and Trends® in Stochastic Systems
    ISSN Print:1551-3092,  ISSN Online:1551-3106
    Publisher:Now Publishers
    Volume 1 Number 2,

Document Type: Article
Pages: 86 (77-162)
DOI: 10.1561/0900000003

Abstract: This manuscript summarizes a line of research that maps certain classical problems of discrete mathematics -- such as the Hamiltonian Cycle and the Traveling Salesman Problems -- into convex domains where continuum analysis can be carried out. Arguably, the inherent difficulty of these, now classical, problems stems precisely from the discrete nature of domains in which these problems are posed. The convexification of domains underpinning the reported results is achieved by assigning probabilistic interpretation to key elements of the original deterministic problems. In particular, approaches summarized here build on a technique that embeds Hamiltonian Cycle and Traveling Salesman Problems in a structured singularly perturbed Markov Decision Process. The unifying idea is to interpret subgraphs traced out by deterministic policies (including Hamiltonian Cycles, if any) as extreme points of a convex polyhedron in a space filled with randomized policies. The topic has now evolved to the point where there are many, both theoretical and algorithmic, results that exploit the nexus between graph theoretic structures and both probabilistic and algebraic entities of related Markov chains. The latter include moments of first return times, limiting frequencies of visits to nodes, or the spectra of certain matrices traditionally associated with the analysis of Markov chains. Numerous open questions and problems are described in the presentation.

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