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Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes
SIAM Journal on Control and Optimization ( IF 2.2 ) Pub Date : 2020-11-17 , DOI: 10.1137/18m1196406
José-Luis Pérez , Kazutoshi Yamazaki , Alain Bensoussan

SIAM Journal on Control and Optimization, Volume 58, Issue 6, Page 3428-3456, January 2020.
We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier replenishment policy that restocks any shortage below a certain threshold at each replenishment opportunity. The optimal policies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.


中文翻译:

谱正的Lévy需求过程的最佳定期补货策略

《 SIAM控制与优化杂志》,第58卷,第6期,第3428-3456页,2020年1月。
我们考虑一个随机的库存控制问题,用于频谱正的Lévy需求过程,在该过程中,库存只能以独立的指数进行补充。次。我们展示了周期性障碍物补给政策的最优性,该策略在每个补给机会处补给低于特定阈值的任何短缺。最优策略和价值函数简写为规模函数。还提供了数值结果。
更新日期:2020-11-17
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