OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND.

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

doi:10.1137/0325082

OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND.

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

Research output: Contribution to journal › Article › peer-review

71 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 language	English (US)
Pages (from-to)	1494-1502
Number of pages	9
Journal	SIAM Journal on Control and Optimization
Volume	25
Issue number	6
DOIs	https://doi.org/10.1137/0325082
State	Published - 1987
Externally published	Yes

All Science Journal Classification (ASJC) codes

Control and Optimization
Applied Mathematics

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10.1137/0325082

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title = "OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND.",

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.",

author = "Fleming, \{W. H.\} and Seth, \{S. P.\} and Soner, \{H. M.\}",

year = "1987",

doi = "10.1137/0325082",

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publisher = "Society for Industrial and Applied Mathematics Publications",

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AU - Seth, S. P.

AU - Soner, H. M.

PY - 1987

Y1 - 1987

N2 - 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.

AB - 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.

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AN - SCOPUS:0023455979

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SP - 1494

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JO - SIAM Journal on Control and Optimization

JF - SIAM Journal on Control and Optimization

IS - 6

ER -

OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND.

Abstract

All Science Journal Classification (ASJC) codes

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