Control of dams using P^M_, policies when the input process is a nonnegative Lévy process

DOI10.1155/2011/916952MaRDI QIDQ655232zbMATH OpenOpenAlexWikidataFDO

Authors Mohamed Abdel-Hameed

Publication date 3 January 2012

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2011/916952

zbMATH Keywords

control of damsLévy processPoisson processpotential of dam content

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Application models in control theory (93C95) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Review text

Summary: We consider \(P^M_{\lambda,\tau}\) policy of a dam in which the water input is an increasing Lévy process. The release rate of the water is changed from 0 to \(M\) and from \(M\) to 0 \((M > 0)\) at the moments when the water level upcrosses level \(\lambda\) and downcrosses level \(\tau (\tau < \lambda)\), respectively. We determine the potential of the dam content and compute the total discounted as well as the long-run average cost. We also find the stationary distribution of the dam content. Our results extend the results in the literature when the water input is assumed to be a Poisson process.

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Cites work

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• Optimal control of a dam using P_λ,τ^M policies and penalty cost when the input process is a compound Poisson process with positive drift
• Optimal control of a finite dam using P^M_λΤ policies and penalty cost: total discounted and long run average cases
• Optimal control of a finite dam: Wiener process input
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Cited in

(5)

• P_λ^M-policy for a dam with input formed by a compound Poisson process
• Average cost under the P^M_{λ, τ} policy in a finite dam with compound Poisson inputs
• Optimal control of a dam using P_λ,τ^M policies and penalty cost when the input process is a compound Poisson process with positive drift
• Optimization under the P^M_λ,τ policy of a finite dam with both continuous and jumpwise inputs
• Optimal control of dams using \(P_{\lambda,\tau}^{M}\) policies and penalty cost

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