Analysis and algorithm for the stochastic control problem of a production/storage system

Author

Val, J. B Ribeiro do ; Salles, J. L Félix

Author_Institution

Univ. Estadual de Campinas, Brazil

fYear

1991

fDate

11-13 Dec 1991

Firstpage

477

Abstract

One of the simplest problems of optimal control of production rate in a production storage system is studied. A single type of item is produced to meet a random demand, and resources can be channeled either to production or to financial assets. Queuing or renewal theory approaches are not appropriate to deal with this problem, and it is best modeled by a piecewise deterministic Markov process as defined by M.H.A. Davis (1984). Optimal solutions are fully characterized by means of the Hamilton-Jacobi-Bellman equation, and an efficient algorithm is proposed for which a recursive procedure over the whole domain and an optimization test are performed in two distinct phases

Keywords

Markov processes; optimisation; production control; queueing theory; stock control; Hamilton-Jacobi-Bellman equation; optimal control; optimization test; piecewise deterministic Markov process; production control; production/storage system; queueing theory; renewal theory; stochastic control; Algorithm design and analysis; Control systems; Costs; Equations; Investments; Jacobian matrices; Markov processes; Optimal control; Performance evaluation; Production systems; Queueing analysis; Stochastic processes; Stochastic systems; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1991., Proceedings of the 30th IEEE Conference on

Conference_Location

Brighton

Print_ISBN

0-7803-0450-0

Type

conf

DOI

10.1109/CDC.1991.261348

Filename

261348