Simple Models in Stochastic Production Planning.

Abstract

A simple stochastic production-inventory model with quadratic cost functions is analyzed in detail. The inventory process is assumed to be driven by a white noise process resulting into an Ito stochastic differential equation. Both finite and infinite horizon versions of the problem are treated by a methodology based on the theory of stochastic integrals and differentials. Particular attention is given to illustrate the methodology, which is quite general and capable of dealing with more complicated problems. The paper concludes with some remarks in connection with the relationship of the results of this paper to the results in the deterministic case. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1978
Accession Number
ADA064346

Entities

People

  • Gerald L. Thompson
  • Suresh P. Sethi

Organizations

  • Carnegie Mellon University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Coefficients
  • Control Theory
  • Differential Equations
  • Diffusion Coefficient
  • Equations
  • Inventory
  • Mathematical Analysis
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Production
  • Production Planning
  • Production Rate
  • Real Variables
  • Stochastic Control
  • Universities

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Operations Research