Turnpike Sets in Optimal Stochastic Production Planning Problems.

Abstract

This paper considers an infinite horizon stochastic production planning problem with demand assumed to be a continuous-time Markov processs. The problems with control (production) and state (inventory) constraints are treated. It is shown that a unique optimal feedback solution exists. The solution is characterized in terms of a turnpike set, toward which the optimal inventory level approach monotonically over time. Moreover, for nondeterministic demand the optimal inventory level reaches the turnpike set almost surely in a finite time and, thereafter, it wanders inside the set in respone to the randomly fluctuating demand. Keywords: Stochastic optimal control. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1986
Accession Number
ADA167561

Entities

People

  • Halil M. Soner
  • Suresh P. Sethi
  • Wendell Fleming

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Air Force
  • Applied Mathematics
  • Differential Equations
  • Dynamic Programming
  • Equations
  • Inequalities
  • Integral Equations
  • Integrals
  • Linear Differential Equations
  • Markov Chains
  • Markov Processes
  • Partial Differential Equations
  • Probability
  • Production
  • Production Planning
  • Production Rate
  • Stochastic Processes

Fields of Study

  • Economics

Readers

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