Setting Job-Shop Due-Dates with Service-Level Constraints

The job-shop due-date assignment problem arises when a manager needs to ‘promise’ a delivery date to a customer. Previous methods yield due-dates which are either optimistic (unlikely to be achieved) or conservative (the promise will be met, but too easily, because the date given was very pessimistic). This paper investigates the due-date assignment problem with a customer ‘service-level’ constraint, the percentage of time that promised delivery dates are honoured. We formulate a rule to attain this service level, yet maintain as short a due-date lead time as possible. Unlike previous attempts, this due-date rule considers not only the job content and instantaneous shop congestion information, but also implicitly incorporates information on how the jobs will be scheduled (or ‘loaded’) once they are in the shop. We simulate a single-machine shop for various measures of performance under several dispatching priorities, comparing our due-date rule with one reported to yield satisfactory performance. Our rule meets all requirements and is found to be superior for most measures of performance.     

规避风险的多阶段最优库存研究

基于市场需求是随机的,并且在进行市场销售前,就要确定每个阶段的生产数量的背景下,建立了具有规避风险的多阶段库存凸随机规划模型.该模型以最小化损失函数的期望值为目标函数,以规避风险为约束条件,以价值风险(VaR)和条件价值风险(CVaR)为风险度量;采用样本平均近似方法(SAA)求解该模型,并分析样本平均近似方法的收敛性;最后,给出数值结果.     

Optimal Ordering Policies for Inventory Systems with Emergency Ordering

This paper considers dynamic single- and multi-product inventory problems in which the demands in each period are independent and identically distributed random variables. The problems considered have the following common characteristics. At the beginning of each period two order quantities are determined for each product. A “normal order” quantity with a constant positive lead time of λ _n periods and an “emergency order” quantity with a lead time of λ _e periods, where λ _e = λ _n - 1. The ordering decisions are based on linear procurement costs for both methods of ordering and convex holding and penalty costs. The emergency ordering costs are assumed to be higher than the normal ordering costs. In addition, future costs are discounted.For the single-product problem the optimal ordering policy is shown to be the same for all periods with the exception of the last period in the N-period problem. For the multi-product problem the one- and N-period optimal ordering policy is characterized where it is assumed that there are resource constraints on the total amount that can be ordered or produced in each period.     

Service-Level Constraints Measuring Shortages during a Fiscal Period: The Normal Distribution

A service-level constraint, defined over a fiscal period, is introduced which measures the amount short and restricts it to a managerially acceptable level. When demand is normal, it is shown that the derivation of the key inventory variables is independent of the parameters of the demand distribution. The service-level constraint is illustrated, and its managerial implications are discussed.     

Control Policies for Inventory with Service Time

Abstract

This article introduces an additional control policy—the N-policy–into (s, S) inventory system with positive service time. Under specified interarrival and service time distributions, which are independent of each other, we obtain the necessary and sufficient condition for the system to be stable. We also obtain the optimal values of the control variables s, S, and N; it is seen that the cost function attains the minimum value at s = 0. It is also shown that the cost function is separately convex in the variables S and N. Numerical illustrations are provided. Several measures of performance of the system are evaluated.     

Optimal Policies for Production/Inventory Systems with Finite Capacity and Markov-Modulated Demand and Supply Processes

In many production/inventory systems, not only is the production/inventory capacity finite, but the systems are also subject to random production yields that are influenced by factors such as breakdowns, repairs, maintenance, learning, and the introduction of new technologies. In this paper, we consider a single-item, single-location, periodic-review model with finite capacity and Markov modulated demand and supply processes. When demand and supply processes are driven by two independent, discrete-time, finite-state, time-homogeneous Markov chains, we show that a modified, state-dependent, inflated base-stock policy is optimal for both the finite and infinite horizon planning problems. We also show that the finite-horizon solution converges to the infinite-horizon solution.     

Inventory Replenishment Policies — Computational Solutions

Relatively minor changes in the assumptions associated with the classical deterministic models for inventory control can give rise to models which are difficult or impossible to analyse by analytical means.A low-cost computational procedure is outlined and applied to two such models associated with the no-shortage policy. The situations examined involve trends in demand and linear inflation in costs.     

Overall Optimization with Optimal Relaxations of the Constraints

Sometimes one or more constraints seriously affect the optimization of an objective function and therefore some relaxation of the constraints is desired if possible. It is assumed that constraints can be relaxed at the cost of introducing some penalty functions into the objective function. In some cases the optimization of the modified objective function (which includes penalty functions) subject to optimally relaxed constraints is preferred. This note deals with the optimal relaxation of the constraints with regard to the linear programming problem which consequently results in overall optimization.     

面向两类客户的双渠道采购库存控制策略

采用排队分析技术,构建基于利润最大化的库存控制模型来考察零售商面向两类客户需求的环境下,双渠道采购库存控制策略.首先,建立了库存水平状态稳态概率分布的平衡方程,并推导出其稳态概率分布以及作为构建系统利润函数的稳态性能指标.然后,建立系统利润最优化模型,并设计改进的遗传算法.最后,通过数值实验考察系统库存控制策略以及参数的敏感性.     

Optimal Policies for Investment with Time-Varying Return Distributions

We develop a model in which investors must learn the distribution of asset returns over time. The process of learning is made more difficult by the fact that the distributions are not constant through time. We consider risk-neutral investors who have quadratic utility and are selecting between two risky assets. We determine the time at which it is optimal to update the distribution estimate and hence, alter portfolio weights. Our results deliver an optimal policy for asset allocation, that is, the sequence of time intervals at which it is optimal to switch between assets, based on stochastic optimal control theory. In addition, we determine the time intervals in which asset switching leads to a loss with high probability. We provide estimates of the effectiveness of the optimal policy.     

Optimal Repair Limit Replacement Policies with Imperfect Repair

This paper considers the repair limit replacement policies with imperfect repair. The repair is imperfect in the sense that the mean life of a repaired system is less than the mean life of a new system. Furthermore, we examine the repair limit replacement policy for the case in which there are two types of repair-local and central repair. The local repair is imperfect whilst the central repair is perfect (i.e. the system is as good as new after central repair). The optimal policies are derived to minimize the expected cost per unit of time for an infinite time span. Analytical results are presented along with numerical examples.     

Optimal Solutions in the Multi-location Inventory System with Transshipments

We consider a single-period multi-location inventory system where inventory choices at each location are centrally coordinated. Transshipments are allowed as recourse actions in order to reduce the cost of shortage or surplus inventory after demands are realized. This problem has not been solved to optimality before for more than two locations with general cost parameters. In this paper we present a simple and intuitive model that enables us to characterize optimal inventory and transshipment policies for three and four locations as well. The insight gained from these analytical results leads us to examine the optimality conditions of a greedy transshipment policy. We show that this policy will be optimal for two and three locations. For the n location model we characterize the necessary and sufficient conditions on the cost structure for which the greedy transshipment policy will be optimal.      

Optimal Replenishment Strategy for Inventory Mechanism with Step-Shaped Demand

Journal of Optimization Theory and Applications - This paper extends the classical economic order quantity inventory model to that the planning horizon consists of two stages—a finite...     

模糊需求下的库存风险及最优库存决策

分析了在模糊需求下,按经典库存模型中的经济订货批量和订货周期所导致的库存风险损失。推导了模糊需求下的经济风险函数。给出了风险函数在模糊需求分布下的重心决策方法,在此基础上得到了模糊需求下经济批量的修正公式,为模糊库存风险分析的研究提供了一种方法。     

Optimal Market Dealing Under Constraints

We consider a market dealer acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset in a quote-driven market. The market dealer may benefit from the bid–ask spread, but has the obligation to permanently quote both prices while satisfying some liquidity and inventory constraints. The objective is to maximize the expected utility from terminal liquidation value over a finite horizon and subject to the above constraints. We characterize the value function as the unique viscosity solution to the associated Hamilton–Jacobi–Bellman equation, and further enrich our study with numerical results. The contributions of our study concern both the modelling aspects and the dynamic structure of the control strategies. Important features and constraints characterizing market making problems are no longer ignored.     

具混合约束的最优控制的二阶必要条件

本文研究了一类具等式与不等式约束的最优控制问题．用Ledzewicz和Schattler引进的二阶锥概念,证明了一个含高阶微商项的局部最大值原理。     

Optimal Control of PDEs with Regularized Pointwise State Constraints

This paper addresses the regularization of pointwise state constraints in optimal control problems. By analyzing the associated dual problem, it is shown that the regularized problems admit Lagrange multipliers in L²-spaces. Under a certain boundedness assumption, the solution of the regularized problem converges to the one of the original state constrained problem. The results of our analysis are confirmed by numerical tests. Supported by the DFG Research Center “Mathematics for key technologies” (FZT 86) in Berlin.     

Two-Commodity Inventory System with Individual and Joint Ordering Policies and Renewal Demands

Abstract

This article analyzes a two-commodity continuous review inventory system with renewal demands. The ordering policy is a combination of policies namely ordering individual commodities and ordering jointly both commodities. The steady state probability distribution for the joint inventory levels is computed. Various system performance measures in the steady state are derived. The results are illustrated numerically.     

关于最优存贮策略的两点注记

本文统一论述了确定性静态存贮系统的最优存贮策略 ,并将具有数量折扣的经典 EOQ公式推广到了一般的确定性静态存贮系统 ;用机会损失 (后悔值 )概念对随机存贮系统的各种临界比公式进行了统一处理 .