Title :
Risk-sensitive inventory control problems
Author :
Avila-Godoy, Guadalupe M. ; Fernández-Gaucherand, Emmanuel
Author_Institution :
Departamento de Matematicas, Sonora Univ., Mexico
Abstract :
Summary form only given. We study an inventory control problem, under a stochastic demand process and with risk (i.e., variance) sensitive optimality criteria. Using convexity and semimodularity-type arguments, we present sufficient conditions for an optimal base-stock policy to exist, in the finite horizon problem. For the infinite horizon case, we show that there exists an ultimately stationary base-stock optimal policy
Keywords :
optimisation; stochastic processes; stock control; convexity; finite horizon problem; infinite horizon problem; optimal base-stock policy; risk sensitive optimality criteria; risk-sensitive inventory control problems; sernimodularity-type; stochastic demand process; ultimately stationary base-stock optimal policy; variance sensitive optimality criteria; Automatic control; Computer science; Control systems; Cost function; Equations; Infinite horizon; Inventory control; Optimal control; Stochastic processes; Sufficient conditions;
Conference_Titel :
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-7061-9
DOI :
10.1109/.2001.980925
