OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST

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	OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST
	Yao, Dacheng1 ; Chao, Xiuli 2; Wu, Jingchen 3
	2015-12-01
发表期刊	JOURNAL OF APPLIED PROBABILITY
ISSN	0021-9002
卷号	52 期号:4 页码:909-925
摘要	In this paper we consider an inventory system with increasing concave ordering cost and average cost optimization criterion. The demand process is modeled as a Brownian motion. Porteus (1971) studied a discrete-time version of this problem and under the strong condition that the demand distribution belongs to the class of densities that are finite convolutions of uniform and/or exponential densities (note that normal density does not belong to this class), an optimal control policy is a generalized (s, 5) policy consisting of a sequence of (s(i), S-i). Using a lower bound approach, we show that an optimal control policy for the Brownian inventory model is determined by a single pair (s, S).
关键词	Brownian inventory system (s, S) policy concave ordering cost
语种	英语
资助项目	National Natural Science Foundation of China[11401566] ; National Natural Science Foundation of China[11101050] ; National Science Foundation[CMMI-1131249] ; National Science Foundation[CMMI-1362619]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000368467600001
出版者	APPLIED PROBABILITY TRUST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21790
专题	应用数学研究所
通讯作者	Yao, Dacheng
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Michigan, Dept Ind & Operat Engn, Ann Arbor, MI 48109 USA 3.Univ Michigan, Ann Arbor, MI 48109 USA
推荐引用方式 GB/T 7714	Yao, Dacheng,Chao, Xiuli,Wu, Jingchen. OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST[J]. JOURNAL OF APPLIED PROBABILITY,2015,52(4):909-925.
APA	Yao, Dacheng,Chao, Xiuli,&Wu, Jingchen.(2015).OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST.JOURNAL OF APPLIED PROBABILITY,52(4),909-925.
MLA	Yao, Dacheng,et al."OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST".JOURNAL OF APPLIED PROBABILITY 52.4(2015):909-925.