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In this paper a form of the stochastic shortest path problem is considered where the optimal path is one that maximizes the expected utility which is concave and quadratic. The principal contribution of this paper is the development of a relaxation based pruning technique which is incorporated into a label setting procedure. The basic label setting procedure solves the problem by generating all Pareto-optimal paths. However, the number of such paths can grow exponentially with the size of the problem. The relaxation based pruning technique developed here is able to recognize and discard most of the Pareto-optimal paths that do not contribute to the optimal path. Our computational results show that the label setting procedure that incorporates the pruning technique consistently outperforms the basic label setting procedure, and is able to solve large problems very quickly.

In this article we consider the problem of determining a path between two nodes in a network that minimizes the maximum of r path length values associated with it. This problem has a direct application in scheduling. It also has indirect applications in a class of routing problems and when considering multiobjective shortest‐path problems. We present a label‐correcting procedure for this problem. We also develop two pruning techniques, which, when incorporated in the label‐correcting algorithm, recognize and discard many paths that are not part of the optimal path. Our computational results indicate that these techniques are able to speed up the label‐correcting procedure by many orders of magnitude for hard problem instances, thereby enabling them to be solved in a reasonable time. © 1992 John Wiley & Sons, Inc.

This paper considers a stochastic shortest path problem where the arc lengths are independent random variables following a normal distribution. In this problem, the optimal path is one that maximizes the expected utility, with the utility function being piecewise-linear and concave. Such a utility function can be used to approximate nonlinear utility functions that capture risk averse behaviour for a wide class of problems. The principal contribution of this paper is the development of exact algorithms to solve large problem instances. Two algorithms are developed and incorporated in labelling procedures. Computational testing is done to evaluate the performance of the algorithms. Overall, both algorithms are very effective in solving large problems quickly. The relative performance of the two algorithms is found to depend on the "curvature" of the piecewise linear utility function.Stochastic, Shortest Path, Networks