A stochastic optimal control approach to a class of production and inventory problems |
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Authors: | K. M. Tao P. Zunde |
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Affiliation: | (1) ESL Inc., Sunnyvale, California;(2) Present address: General Electric Company, San Jose, California;(3) School of Information and Computer Science, Georgia Institute of Technology, Atlanta, Georgia |
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Abstract: | A comprehensible and unified system control approach is presented to solve a class of production/inventory smoothing problems. A nonstationary, non-Gaussian, finite-time linear optimal solution with an attractive computation scheme is obtained for a general quadratic and linear cost structure. A complete solution to a classical production/inventory control problem is given as an example. A general solution to the discrete-time optimal regulator with arbitrary but known disturbance is provided and discussed in detail. A computationally attractive closed-loop suboptimal scheme is presented for problems with constraints or nonquadratic costs. Implementation and interpretation of the results are discussed. |
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Keywords: | Control theory disturbances stochastic processes production and inventory smoothing optimization |
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