Displaying similar documents to “A natural characterization of nonlinear cost rules”

Two hedging points policy for an unreliable manufacturing system

Ryszarda Rempała (2002)

Applicationes Mathematicae

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This paper deals with an unreliable manufacturing system in which limited backlog is allowed. An admissible production policy is described by two decision parameters: upper and lower hedging points. The objective is to find the optimum hedging points so as to minimize the long run average expected cost under an additional condition. The condition expresses a constraint for the limiting probability of the event that the system stays at the lower hedging point, which corresponds to a limit...

Production-inventory system with finite production rate, stock-dependent demand, and variable holding cost

Hesham K. Alfares (2014)

RAIRO - Operations Research - Recherche Opérationnelle

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In general, traditional production-inventory systems are based on a number of simplifying – but somewhat unrealistic – assumptions, including constant demand rate, constant holding cost, and instantaneous order replenishment. These assumptions have been individually challenged in numerous variations of production-inventory models. Finite production rate models, such as economic production quantity (EPQ) systems consider gradual order replenishment. Stock-dependent demand models assume...

Convergence of optimal strategies under proportional transaction costs

Rafał Kucharski (2008)

Banach Center Publications

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A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies. ...

Convergence of optimal strategies in a discrete time market with finite horizon

Rafał Kucharski (2006)

Applicationes Mathematicae

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A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.