A forward algorithm for a generalized wheat trading model |
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Authors: | R F Hartl |
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Institution: | (1) Inst. f. Econometrics & OR, Techn. Univ. Vienna, Argentinierstr. 8, A-1040 Wien, Austria |
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Abstract: | In this paper the well known wheat trading problem is generalized to allow for general non-linear holding cost functions. A forward algorithm in the spirit of the Modigliani-Hohn and Arrow-Karlin algorithms is given. Furthermore the conditions for the existence of weak decision and forecast horizons are relaxed. In particular, it is shown that the price may on some intervals exceed the price shield introduced by Sethi and Thompson without violating the optimality of the solution in the first interval.This research was supported by a grant S 3204 on Dynamics of the Firm. from Fonds zur Förderung der wissenschaftlichen Forschung. |
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Keywords: | forward algorithm inventory optimal control decision horizon |
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