Parameter tracking for an inventory model. (Q1412535)
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English | Parameter tracking for an inventory model. |
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Parameter tracking for an inventory model. (English)
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25 November 2003
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This article deals with an application of hidden Markov models techniques to a discrete-time inventory model, where the demand and replinishment processes jump between different levels according to the jumps of two (`hidden') Markov chains. Using measure change techniques the problem of detecting a `best' model from a list of dynamical models tracking the behaviour of the stock level is investigated. Recursive filters which indicate the most likely inventory model are proposed.
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hidden Markov models
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discrete-time inventory model
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filtering
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change of measure
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Markov chains
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