A Stochastic Production Planning Problem with Random Demand
Proceedings of the 24th IEEE Conference on Decision and Control, Fort Lauderdale, FL, Dec. 11-13, 1985, 1345-1346
Posted: 4 Jun 2020
Date Written: 1985
Abstract
This paper considers an infinite horizon stochastic production planning problem with demand assumed to be a continuous-time Markov process. Problems with control (production) and state (inventory) constraints are treated. It is shown that a unique optimal feedback solution exists. This solution is characterized in terms of a turnpike set, toward which the optimal inventory level approaches monotonically.
Keywords: infinite horizon, stochastic production, Markov process
JEL Classification: C61, M11, M20
Suggested Citation: Suggested Citation
Soner, Halil Mete and Fleming, Wendell H and Sethi, Suresh, A Stochastic Production Planning Problem with Random Demand (1985). Proceedings of the 24th IEEE Conference on Decision and Control, Fort Lauderdale, FL, Dec. 11-13, 1985, 1345-1346, Available at SSRN: https://ssrn.com/abstract=3595759
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