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11.
We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions
for certain classes of such systems under which the stochastic control problems become finite-dimensional. These conditions
are illustrated with three applications. First, we solve some linear quadratic problems with delay. Then we find the optimal
consumption rate in a financial market with delay. Finally, we solve explicitly a deterministic fluid problem with delay which
arises from admission control in ATM communication networks. 相似文献
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The transmission and diffraction of radiation through dense monolayers of monodisperse opaque spheres were studied for the Fraunhofer domain. Theoretical considerations, numerical calculations and experiments on ultrasonic transmission and on laser light transmission and diffraction yielded corresponding results. Complementary studies included the cases of sterically non-interacting particles (by numerical simulation) and of small particle size parameters (by ultrasonic extinction). Transmission was found to be, in general, a non-linear function of the monolayer density. Secondary effects on the transmission can be attributed to the effect of the monolayer structure (characterized by the pair correlation function) on the angular distribution of diffracted intensity. The results were found to be in accordance with experimental results on extinction in three-dimensional systems. 相似文献
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Ulrich D. Holzbaur 《Annals of Operations Research》1991,32(1):35-50
Starting from fuzzy real numbers with an arbitrary lattice of belief and following the extension principle, we develop concepts of fuzzy probabilities, transition probabilities and random variables and of their combinations, and show that these concepts are consistent. We derive some results on fuzzy real numbers, on the expectation of fuzzy random variables and on fuzzy stochastic processes. To sketch the range of applications of fuzzy stochastics, we give two examples that show how real-world problems may be modeled by means of fuzzy probabilities and that give small numerical examples. Moreover, we give a brief outlook for a possible expansion of our theory to fuzzy Markovian decision processes by means of a partial order on the set of all fuzzy real numbers. 相似文献
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In this paper we apply linear control theory to study the effect of various inventory policies on order and inventory variability, which are key drivers of supply chain performance. In particular, we study a two-echelon supply chain with a stationary demand pattern under the influence of three inventory policies: an inventory-on-hand policy that bases orders on the visible inventory at an installation, an installation-stock policy that bases orders on the inventory position (on-hand plus on-order inventory) at an installation, and an echelon-stock policy that bases orders on the inventory position at that installation and all downstream installations. We prove analytically that the inventory-on-hand policy is unstable in practical settings, confirming analytically what has been observed in experimental settings and in practice. We also prove that the installation-stock and echelon-stock policies are stable and analyze their effect on order and inventory fluctuation. Specifically, we show the general superiority of the echelon-stock in our setting and demonstrate analytically the effect of forecasting parameters on order and inventory fluctuations, confirming the results in other research. 相似文献
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