共查询到20条相似文献,搜索用时 31 毫秒
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本文讨论了具有交易成本与时变波动的最优投资问题。在此模型中,当风险溢价与方差成线性关系时,最优策略与波动水平无关。 相似文献
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非负费用折扣半马氏决策过程 总被引:1,自引:0,他引:1
本文考虑可数状态非负费用的折扣半马氏决策过程.首先在给定半马氏决策核和策略下构造一个连续时间半马氏决策过程,然后用最小非负解方法证明值函数满足最优方程和存在ε-最优平稳策略,并进一步给出最优策略的存在性条件及其一些性质.最后,给出了值迭代算法和一个数值算例. 相似文献
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《Optimization》2012,61(5):743-754
In this paper the problem of estimation of an optimal replacement interval for a system which is minimally repaired at failures is studied. The problem is investigated both under a parametric and a nonparametric form of the failure intensity of the system. It is assumed that observational data from n systems are available. Some asymptotic results are shown. A graphical procedure for determining/estimating an optimal replacement interval is presented. The procedure is particularly valuable for sensitivity analyses, for example with respect to the costs involved. 相似文献
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Marc J. G. van Eijs 《Mathematical Methods of Operations Research》1994,39(3):289-304
This paper considers the well-known class of can-order policies. This type of coordinated replenishment policies accounts for a joint set-up cost structure, where a major set-up cost is incurred for any order and an individual minor set-up cost is charged for each item in the replenishment. Recent comparative studies have pointed out that the performance of the optimal can-order policy is poor, compared to other coordinated replenishment strategies, when the major set-up cost is high. This paper shows that it is the approximate decomposition method to calculate the optimal canorder parameters which performs bad in such situations and not the policy itself. Attention is focused to a subclass of can-order policies, which is close to the optimal can-order policy for high major set-up costs. A solution procedure is developed to calculate the optimal control parameters of this policy. It is shown that a properly chosen combination of the solution procedures to calculate can-order parameters leads to a can-order strategy which performs as well as other coordinated replenishment policies. 相似文献
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Optimal transportation policies for production/inventory systems with an unreliable and a reliable carrier 总被引:1,自引:0,他引:1
In this paper, we consider a periodic-review make-to-order production/inventory system with two outbound transportation carriers:
One carrier is reliable, the other carrier is less reliable but more economical. The objective is to find the optimal shipping
policy that minimizes the total discounted transportation, inventory, and customer waiting costs. Under several scenarios,
we characterize the optimal policy and present the structural properties for the optimal control parameters and the key performance
measures. Our results provide managerial insights on how a manufacturer can effectively manage its transportation carriers
and product shipment. We also discuss several possible extensions of the model. 相似文献
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This note describes sufficient conditions under which total-cost and average-cost Markov decision processes (MDPs) with general state and action spaces, and with weakly continuous transition probabilities, can be reduced to discounted MDPs. For undiscounted problems, these reductions imply the validity of optimality equations and the existence of stationary optimal policies. The reductions also provide methods for computing optimal policies. The results are applied to a capacitated inventory control problem with fixed costs and lost sales. 相似文献
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This paper proposes a optimal control problem for a general nonlinear systems with finitely many admissible control settings and with costs assigned to switching of controls. With dynamic programming and viscosity solution theory we show that the switching lower-value function is a viscosity solution of the appropriate systems of quasi-variational inequalities(the appropriate generalization of the Hamilton-Jacobi equation in this context) and that the minimal such switching-storage function is equal to the continuous switching lower-value for the game. With the lower value function a optimal switching control is designed for minimizing the cost of running the systems. 相似文献
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本文研究了单部件组成系统的保修策略 ,提出了一种新的按比例保修和免费保修策略 .在假定故障部件不能“修复如新”的条件下 ,利用几何过程分别考察了顾客和商家关于产品的长期运行平均费用 ,求出了它们的明显表达式 ,并且可以通过数值法或分析法求出其最优保修期 . 相似文献
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We consider a manufacturing system in which an input generating installation transfers a raw material to a subsequent production unit. Both machines deteriorate stochastically with usage and may fail. For each machine the deteriorating process is described by some known transition probabilities between different degrees of deterioration. A buffer has been built between the two machines in order to cope with unexpected failures of the installation. A discrete-time Markov decision model is formulated for the optimal preventive maintenance of both machines. The maintenance times are geometrically distributed and the cost structure includes operating costs, storage costs, maintenance costs and costs due to the lost production. It is proved that for fixed buffer content and for fixed deterioration degree of one machine, the average-cost optimal policy initiates a preventive maintenance of the other machine if and only if its degree of deterioration exceeds some critical level. We study, by means of numerical results, the effect of the variation of some parameters on the optimal policy and on the minimum average cost. For the case in which the maintenance times follow continuous distributions, an approximate discrete-time Markov decision model is proposed. 相似文献
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We consider a two-stage tandem queue attended by a moving server, with homogeneous Poisson arrivals and general service times.
Two different holding costs for stages 1 and 2 and different switching costs from one stage to the other are considered. We
show that the optimal policy in the second stage is greedy; and if the holding cost rate in the second stage is greater or
equal to the rate in the first stage, then the optimal policy in the second stage is also exhaustive. Then, the optimality
condition for sequential service policy in systems with zero switchover times is introduced. Considering some properties of
the optimal policy, we then define a Triple-Threshold (TT) policy to approximate the optimal policy in the first stage. Finally,
a model is introduced to find the optimal TT policy, and using numerical results, it is shown that the TT policy accurately
approximates the optimal policy.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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Shu-ping Chen Chong Li Sheng-hong Li Xiong-wei WuDepartment of Applied Mathematics Zhejiang University Hangzhou ChinaDepartment of Applied Mathematics Southeast University Nanjing China 《应用数学学报(英文版)》2002,18(2):231-248
Abstract The purpose of the article is to formulate,under the l_∞ risk measure,a model of portfolio selectionwith transaction costs and then investigate the optimal strategy within the proposed.The characterization of aoptimal strategy and the efficient algorithm for finding the optimal strategy are given. 相似文献
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现实中,系统由于任务、环境等因素,无法实时对故障部件进行维修。因此需要在任务间隔期间或对故障部件进行维修的同时对系统各部件进行预防性机会维修。本文考虑系统期望维修成本,提出了基于部件维修优先级的预防性维修策略。首先把系统期望维修成本分为失效部件维修成本、失效部件导致系统故障的成本和预防性维修其他部件的成本,提出了基于成本的二态和多态系统部件维修优先级度量方法,并在两种场景下分析了如何选择预防性维修部件。其次针对多态系统,研究了基于成本重要度的部件最佳维修水平,并讨论了成本约束下的部件预防性维修策略。最后以某型预警机系统为例进行验证,结果表明,基于成本的预防性维修策略不仅与故障部件位置和相关成本有关,而且还与可用于预防性维修的其他部件重要性有关。 相似文献
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陈修素 《数学的实践与认识》2002,32(4):549-553
在常数需求率以及有限生产率条件下研究了订货客户耐烦期相同的一类新的生产——库存模型 ,在每一个周期内考虑了延期交货时间超过耐烦期的短缺费用和销售机会损失等因素 ,给出了相应的最优生产时间和周期的确定方法 ,利用数学软件 Matlab及计算机为工具给出了数字例子进行说明 ,其方法和结果为库存系统的管理决策提供了理论依据 相似文献
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Feng Zhou James D. Blocher Xinxin Hu H. Sebastian Heese 《European Journal of Operational Research》2014
We consider the problem of scheduling products with components on a single machine, where changeovers incur fixed costs. The objective is to minimize the weighted sum of total flow time and changeover cost. We provide properties of optimal solutions and develop an explicit characterization of optimal sequences, while showing that this characterization has recurrent properties. Our structural results have interesting implications for practitioners, primarily that the structure of optimal sequences is robust to changes in demand. 相似文献
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This paper studies the policy iteration algorithm (PIA) for average cost Markov control processes on Borel spaces. Two classes of MCPs are considered. One of them allows some restricted-growth unbounded cost functions and compact control constraint sets; the other one requires strictly unbounded costs and the control constraint sets may be non-compact. For each of these classes, the PIA yields, under suitable assumptions, the optimal (minimum) cost, an optimal stationary control policy, and a solution to the average cost optimality equation. 相似文献
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This paper considers a first passage model for discounted semi-Markov decision processes with denumerable states and nonnegative costs.The criterion to be optimized is the expected discounted cost incurred during a first passage time to a given target set.We first construct a semi-Markov decision process under a given semi-Markov decision kernel and a policy.Then,we prove that the value function satisfies the optimality equation and there exists an optimal(or e-optimal) stationary policy under suitable conditions by using a minimum nonnegative solution approach.Further we give some properties of optimal policies.In addition,a value iteration algorithm for computing the value function and optimal policies is developed and an example is given.Finally,it is showed that our model is an extension of the first passage models for both discrete-time and continuous-time Markov decision processes. 相似文献
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针对两周期闭环供应链,在考虑突发事件干扰新产品制造成本的情况下,在集中式和分散式决策时闭环供应链在扰乱前后关于回收决策和协调机制问题的比较,得到了扰动前后的最优回收价格、回收数量以及制造商的最大再制造节约利润和零售商的最优回收利润。研究表明:当制造成本扰动幅度较小时,集中化决策者和分散化决策者均保持原回收计划,适当调整回收价格;当制造成本扰动幅度较大时,集中化决策者和制造商愿意调整其回收决策,而零售商在正扰动幅度较大时希望保持原回收计划,在负扰动幅度较大时倾向于调整回收决策。两部收费制契约可以协调制造成本扰乱之前和之后的闭环供应链。制造商获得的固定费用在制造成本扰动幅度较小时随扰动量绝对值的增加而增加;在扰动量幅度较大时随正扰动量的增加而减少,负扰动量绝对值的增加而增加。 相似文献