Optimal control of a multistate failure-prone manufacturing system under a conditional value-at-risk cost criterion

DOI10.1007/s10957-014-0668-6zbMath1327.93402OpenAlexW2090884848MaRDI QIDQ896177

Amir Ahmadi-Javid, Roland P. Malhamé

Publication date: 14 December 2015

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-014-0668-6

zbMATH Keywords

stochastic optimal controllong-run average costproduction controlconditional value-at-riskfailure-prone manufacturing systemhedging-point control policyrisk-averse criterion

Mathematics Subject Classification ID

Decision theory (91B06) Feedback control (93B52) Stochastic programming (90C15) Optimal stochastic control (93E20) Actuarial science and mathematical finance (91G99)

Related Items

Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities ⋮ Economic design of memory-type control charts: the fallacy of the formula proposed by Lorenzen and Vance (1986)

Cites Work

• Optimal production planning in a stochastic manufacturing system with long-run average cost
• Optimal threshold levels in stochastic fluid models via simulation-based optimization
• Coherent Measures of Risk
• Lectures on Stochastic Programming
• Optimal control of production rate in a failure prone manufacturing system
• Production control of a manufacturing system with multiple machine states
• Optimality of Zero-Inventory Policies for Unreliable Manufacturing Systems
• A manufacturing system with general stationary failure process: stability and IPA of hedging control policies
• Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach
• On the ordering of optimal hedging points in a class of manufacturing flow control models
• Production rate control for failure-prone production systems with no backlog permitted
• Hedging Point Policies Remain Optimal Under Limited Backlog and Inventory Space
• Optimality of a Two-Threshold Feedback Control for a Manufacturing System With a Production Dependent Failure Rate
• Optimization of Convex Risk Functions