A stochastic optimal control approach to a class of production and inventory problems (Q1062904): Difference between revisions

A comprehensive and unified system control approach is presented to solve a class of production/inventory smoothing problems. A nonstationary, non- Gaussian, finite-time linear optimal solution with an attractive computation scheme is obtained for a general quadratic and linear cost structure. A complete solution to a classical production/inventory control problem is given as an example. A general solution to the discrete-time optimal regulator with arbitrary but known disturbance is provided and discussed in detail. A computationally attractive closed- loop suboptimal scheme is presented for problems with constraints or nonquadratic costs. Implementation and interpretation of the results are discussed.