Title :
Pade approximants for the transient optimization of hedging control policies in manufacturing
Author :
El-Ferik, Sami ; Malhamé, Roland P.
Author_Institution :
Ecole Polytech. de Montreal, Que., Canada
Abstract :
A renewal equation is developed for the cost functional over finite horizon in manufacturing systems under an arbitrary time-invariant hedging control policy. The kernel of that renewal equation is a first return time probability density function. An auxiliary system of partial differential equations is subsequently used to recursively generate (stable) Pade approximants for that return density function, and hence for the finite horizon cost functional. The Pade approximants are expressed as functions of the arbitrary constant critical levels of the hedging policy. At that stage, (hedging) parameter optimization can be carried out to yield horizon dependent best invariant hedging production policies
Keywords :
Markov processes; approximation theory; optimisation; partial differential equations; probability; production control; state-space methods; Markov chain; Pade approximants; finite horizon cost functional; finite state space; hedging control policies; manufacturing systems; parameter optimization; partial differential equations; probability density function; renewal equation; return density function; transient optimization; Control systems; Cost function; Density functional theory; Kernel; Manufacturing systems; Optimal control; Partial differential equations; Probability density function; Production systems; State-space methods;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.478505
