Temat: optimal control model - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Optimal consumption problem in the Vasicek model
Autorzy:: Trybuła, J.
Powiązania:: https://bibliotekanauki.pl/articles/255083.pdf
Data publikacji:: 2015
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:: stochastic control
interest rate model
optimal consumption
HJB equation
Opis:: We consider the problem of an optimal consumption strategy on the infinite time horizon based on the hyperbolic absolute risk aversion utility when the interest rate is an Ornstein-Uhlenbeck process. Using the method of subsolution and supersolution we obtain the existence of solutions of the dynamic programming equation. We illustrate the paper with a numerical example of the optimal consumption strategy and the value function.
Źródło:: Opuscula Mathematica; 2015, 35, 4; 547-560
1232-9274
2300-6919
Pojawia się w:: Opuscula Mathematica
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Optimization of stochastic production-inventory model for deteriorating items in a definite cycle using Hamilton-Jacobi-Bellman equation
Autorzy:: Hau, Bui Minh
Kim, Hwan-Seong
Long, Le Ngoc Bao
You, Sam-Sang
Powiązania:: https://bibliotekanauki.pl/articles/2203774.pdf
Data publikacji:: 2022
Wydawca:: Wyższa Szkoła Logistyki
Tematy:: production inventory model
deteriorating items
stochastic optimal control
HJB equation
model zapasów produkcyjnych
elementy niszczące
optymalna kontrola stochastyczna
równanie HJB
Opis:: Background: Inventory control is essential for a manufacturer to achieve the desired profit in successful supply chain management. This paper deals with the production-inventory system under the decrease in production rate. The model includes three stages: before the decrease in production, after the decrease in production, and after a period of inventory shortage. Throughout the stages, the stochastic inventory model is always affected by random factors and the deterioration of inventory quality. Method: The article uses the economic order quantity (EOQ) framework to evaluate costs in the production-inventory model. To optimize the manufacturer’s profit with the stochastic factor, Hamilton-Jacobi-Bellman (HJB) equation is presented to find the production rate to make the inventory model to guarantee its intended goals in a determined cycle. Result: Analytical solutions are provided for optimization of the stochastic production-inventory model. Numerical experiments show that inventory level, production rate, and profit over time are based on the optimal initial value of the production rate. Conclusion: The manufacturer’s profit comes from the stages of importing raw materials, processing and producing, storing and supplying items. Finding the initial value of the production rate can make the inventory level and production rate to ensure their desired value and get the target profit within a specified time.
Źródło:: LogForum; 2022, 18, 4; 379--411
1734-459X
Pojawia się w:: LogForum
Dostawca treści:: Biblioteka Nauki

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