相关论文: Optimal Control of Brownian Inventory Models with …

We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…

We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…

Consider a storage system where the content is driven by a Brownian motion absent control. At any time, one may increase or decrease the content at a cost proportional to the amount of adjustment. A decrease of the content takes effect…

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…

This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…

We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…

In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…

In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…

This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…

Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…

This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…

We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…

In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…

This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…