Year: 2011
East Asian Journal on Applied Mathematics, Vol. 1 (2011), Iss. 1 : pp. 89–96
Abstract
The paper studies the production inventory problem of minimizing the expected discounted present value of production cost control in manufacturing systems with degenerate stochastic demand. We have developed the optimal inventory production control problem by deriving the dynamics of the inventory-demand ratio that evolves according to a stochastic neoclassical differential equation through Ito’s Lemma. We have also established the Riccati based solution of the reduced (one-dimensional) HJB equation corresponding to production inventory control problem through the technique of dynamic programming principle. Finally, the optimal control is shown to exist from the optimality conditions in the HJB equation.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.190609.190510a
East Asian Journal on Applied Mathematics, Vol. 1 (2011), Iss. 1 : pp. 89–96
Published online: 2011-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 8
Keywords: Optimal control production models stochastic differential equations inventory manufacturing systems.
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