Average Cost Brownian Drift Control with Proportional Changeover Costs

DOI10.1287/STSY.2021.0071zbMath1493.93059OpenAlexW3200934828MaRDI QIDQ5084489

John H. Vande Vate

Publication date: 24 June 2022

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/stsy.2021.0071

zbMATH Keywords

algorithmdiffusion processdrift control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Cites Work

• Drift rate control of a Brownian processing system
• Optimal buffer size for a stochastic processing network in heavy traffic
• On the Lambert \(w\) function
• Drift Control with Changeover Costs
• Solving the drift control problem
• A control of a brownian storage system with two switcnover drifts
• The Optimal Policy for a Controlled Brownian Motion Process
• Optimal Control of a Brownian Motion
• Optimal Control of a Brownian Production/Inventory System with Average Cost Criterion
• The economic average cost Brownian control problem
• A Method for Computing Double Band Policies for Switching between Two Diffusions
• A diffusion model for the control of a dam
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