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 language||English (US)|
|Number of pages||9|
|Journal||SIAM Journal on Control and Optimization|
|State||Published - Jan 1 1987|
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics