OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND.

W. H. Fleming, S. P. Seth, H. M. Soner

Research output: Contribution to journalArticle

65 Scopus citations

Abstract

This paper considers an infinite horizon stochastic production planning problem with demand assumed to be a continuous-time Markov chain. The problems with control (production) and state (inventory) constraints are treated. It is shown that a unique optimal feedback solution exists, after first showing that convex viscosity solutions to the associated dynamic programming equation are continuously differentiable.

Original languageEnglish (US)
Pages (from-to)1494-1502
Number of pages9
JournalSIAM Journal on Control and Optimization
Volume25
Issue number6
DOIs
StatePublished - Jan 1 1987
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

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