Random-direction optimization algorithms with applications to threshold controls

DOI10.1023/A:1017555931930MaRDI QIDQ5947270zbMATH OpenOpenAlexFDO

Authors Q. Zhang, Houmin Yan, E. K. Boukas, George Yin

Publication date 23 April 2002

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017555931930

zbMATH Keywords

manufacturingoptimizationproduction planningrandom-direction gradient methodthreshold

Mathematics Subject Classification ID

Production models (90B30) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

Review text

This work presents an optimization algorithm for solving problems of optimal control where the set of admissible controls is restricted to policies of threshold type. The procedure under discussion uses a random-direction gradient method to optimize the threshold levels. The idea is to collect all random effects of the dynamic system in a process which is supposed to be stationary. At each step, the threshold levels are corrected by a random vector and projected onto a constrained set. The convergence is established and the convergence rate is obtained. The authors emphasize that their method is recursive and easy to implement. An example of production planning in manufacturing is examined.

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Cites work

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Cited in

(2)

• Optimal threshold levels in stochastic fluid models via simulation-based optimization
• Optimal Control for Fast, Accurate Threshold-Hitting

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