Optimality of (s,S) policies with nonlinear processes

DOI10.3934/DCDSB.2017008zbMATH Open1360.90016OpenAlexW2559947868MaRDI QIDQ523979FDOQ523979

Jingzhen Liu, Alain Bensoussan, Ka Fai Cedric Yiu

Publication date: 25 April 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2017008

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zbMATH Keywords

\((s,S)\) policyinventory controlnonlinear mean-reverting process

Mathematics Subject Classification ID

Dynamic programming (90C39) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

Cites Work

• Controlled Markov processes and viscosity solutions
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• Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains

Cited In (5)

• Computing non-stationary \((s, S)\) policies using mixed integer linear programming
• Analytical and numerical solutions to ergodic control problems arising in environmental management
• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
• Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand
• Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach

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