A control band policy is one that enforces an upward jump to q whenever level zero is hit, and enforces a downward jump to Q whenever level S is hit (0 < q < Q < S). We prove the existence of an optimal control band policy and calculate explicitly the optimal values of the critical numbers (q, Q, S).
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A control band policy is one that enforces an upward jump to q whenever level zero is hit, and enforces a downward jump to Q whenever level S is hit (0 < q < Q ...
Abstract. This thesis considers an impulse control problem of a standard Brownian motion under a discounted criterion, in which every intervention incurs a ...
When a manufacturer places repeated orders with a supplier to meet changing production requirements, he faces the challenge of finding the right balance ...
The inventory level must be nonnegative at all times and continuously incurs a linear holding cost. The objective is to minimize long-run average cost. We show ...
Consider a storage system, such as an inventory or cash fund, whose content fluctuates as a micro, sigma sq Brownian motion in the absence of control.
This talk examines the impulse control for Brownian motion under both long-term ave- rage and discounted criteria. It shows how to reformulate the control ...
This paper examines the impulse control of a standard Brownian motion under a discounted criterion. In contrast with the dynamic programming approach, ...
a rate proportional to the storage level, and we may cause the storage level to jump by any desired amount at any time except that the content must be kept ...
Mar 10, 2016 · Abstract. This paper examines the impulse control of a standard Brow- nian motion under a discounted criterion. In contrast with the dynamic.