Ergodic control for a mean reverting inventory model

DOI10.3934/jimo.2017079zbMath1412.35187OpenAlexW2759772263MaRDI QIDQ1716996

Alain Bensoussan, Jingzhen Liu, Ka-Fai Cedric Yiu

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017079

zbMATH Keywords

dynamic programmingergodic controlstochastic impulse controlinventory policymean reverting model

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming (90C39) Optimal stochastic control (93E20) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)

Related Items

Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dampening bullwhip effect of order-up-to inventory strategies via an optimal control method
• An \((s,S)\) inventory model with level-dependent G/M/\(1\)-type structure
• Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
• Analysis of bullwhip effect in supply chains with heterogeneous decision models
• Inventory models with Markovian demands and cost functions of polynomial growth
• Average cost optimality in inventory models with Markovian demands
• Optimal production planning in a multi-product stochastic manufacturing system with long-run average cost
• Analysis of optimal opportunistic replenishment policies for inventory systems by using a \((s,S)\) model with a maximum issue quantity restriction
• Optimal investment with a value-at-risk constraint
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Control of a Mean-Reverting Inventory
• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• Average Optimal Singular Control and a Related Stopping Problem
• A Solvable One-Dimensional Model of a Diffusion Inventory System
• A simple proof for optimality of (s, S) policies in infinite-horizon inventory systems
• MINIMUM AVERAGE COST PRODUCTION PLANNING IN STOCHASTIC MANUFACTURING SYSTEMS
• Optimal inventory control of lumpy demand items using (s,S) policies with a maximum issue quantity restriction and opportunistic replenishments
• Survey of Literature on Continuously Deteriorating Inventory Models
• Inventory control
• Recent trends in modeling of deteriorating inventory