Approximate evaluation of continuous review $(R,Q)$ policies in two-echelon inventory systems with stochastic transportation times

Abdullah S. Karaman

Displaying similar documents to “Approximate evaluation of continuous review $(R, Q)$ policies in two-echelon inventory systems with stochastic transportation times”

Viability theorems for stochastic inclusions

Michał Kisielewicz (1995)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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Sufficient conditions for the existence of solutions to stochastic inclusions $x_{t} - x_{s} \in \int_{s}^{t} F_{τ} (x_{τ}) d τ + \int_{s}^{t} G_{τ} (x_{τ}) d w_{τ} + \int_{s}^{t} \int_{I R ⁿ} H_{τ, z} (x_{τ}) ν ̃ (d τ, d z)$ beloning to a given set K of n-dimensional cádlág processes are given.

Partially observable queueing systems with controlled service rates under a discounted optimality criterion

Yofre H. García, Saul Diaz-Infante, J. Adolfo Minjárez-Sosa (2021)

Kybernetika

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We are concerned with a class of $G I / G I / 1$ queueing systems with controlled service rates, in which the waiting times are only observed when they take zero value. Applying a suitable filtering process, we show the existence of optimal control policies under a discounted optimality criterion.

Limiting average cost control problems in a class of discrete-time stochastic systems

Nadine Hilgert, Onesimo Hernández-Lerma (2001)

Applicationes Mathematicae

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We consider a class of $ℝ^{d}$ -valued stochastic control systems, with possibly unbounded costs. The systems evolve according to a discrete-time equation $x_{t + 1} = G ₙ (x_{t}, a_{t}) + ξ_{t}$ (t = 0,1,... ), for each fixed n = 0,1,..., where the $ξ_{t}$ are i.i.d. random vectors, and the Gₙ are given functions converging pointwise to some function $G_{\infty}$ as n → ∞. Under suitable hypotheses, our main results state the existence of stationary control policies that are expected average cost (EAC) optimal and sample path average cost (SPAC)...

Analysis of an M|G|1|R queue with batch arrivals and two hysteretic overload control policies

Yuliya Gaidamaka, Alexander Pechinkin, Rostislav Razumchik, Konstantin Samouylov, Eduard Sopin (2014)

International Journal of Applied Mathematics and Computer Science

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Hysteretic control of arrivals is one of the most easy-to-implement and effective solutions of overload problems occurring in SIP-servers. A mathematical model of an SIP server based on the queueing system $M^{[X]} | G | 1 ⟨ L, H ⟩ | ⟨ H, R ⟩$ with batch arrivals and two hysteretic loops is being analyzed. This paper proposes two analytical methods for studying performance characteristics related to the number of customers in the system. Two control policies defined by instants when it is decided to change the system’s...

Non-stationary departure process in a batch-arrival queue with finite buffer capacity and threshold-type control mechanism

Wojciech M. Kempa, Dariusz Kurzyk (2022)

Kybernetika

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Non-stationary behavior of departure process in a finite-buffer $M^{X} / G / 1 / K$ -type queueing model with batch arrivals, in which a threshold-type waking up $N$ -policy is implemented, is studied. According to this policy, after each idle time a new busy period is being started with the $N$ th message occurrence, where the threshold value $N$ is fixed. Using the analytical approach based on the idea of an embedded Markov chain, integral equations, continuous total probability law, renewal theory and linear...

Discrete-time Markov control processes with recursive discount rates

Yofre H. García, Juan González-Hernández (2016)

Kybernetika

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This work analyzes a discrete-time Markov Control Model (MCM) on Borel spaces when the performance index is the expected total discounted cost. This criterion admits unbounded costs. It is assumed that the discount rate in any period is obtained by using recursive functions and a known initial discount rate. The classic dynamic programming method for finite-horizon case is verified. Under slight conditions, the existence of deterministic non-stationary optimal policies for infinite-horizon...

Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric

Vlasta Kaňková, Vadim Omelčenko (2018)

Kybernetika

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Optimization problems with stochastic dominance constraints are helpful to many real-life applications. We can recall e. g., problems of portfolio selection or problems connected with energy production. The above mentioned constraints are very suitable because they guarantee a solution fulfilling partial order between utility functions in a given subsystem $𝒰$ of the utility functions. Especially, considering $𝒰 : = 𝒰_{1}$ (where $𝒰_{1}$ is a system of non decreasing concave nonnegative utility functions)...

On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains

Weronika Łaukajtys (2004)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let D be an open convex set in $ℝ^{d}$ and let F be a Lipschitz operator defined on the space of adapted càdlàg processes. We show that for any adapted process H and any semimartingale Z there exists a unique strong solution of the following stochastic differential equation (SDE) with reflection on the boundary of D: $X_{t} = H_{t} + \int_{0}^{t} ⟨ F {(X)}_{s -}, d Z_{s} ⟩ + K_{t}$ , t ∈ ℝ⁺. Our proofs are based on new a priori estimates for solutions of the deterministic Skorokhod problem.

Some Results on Stochastic Porous Media Equations

Viorel Barbu, Giuseppe Da Prato, Michael Röckner (2008)

Bollettino dell'Unione Matematica Italiana

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Some recent results about nonnegative solutions of stochastic porous media equations in bounded open subsets of $\mathbb{R}^{3}$ are considered. The existence of an invariant measure is proved.

Sungularity as $L_{2}$ -regularity and vice versa

T. Pogany (1990)

Matematički Vesnik

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Limit theorems for stochastic recursions with Markov dependent coefficients

Dariusz Buraczewski, Małgorzata Letachowicz (2012)

Colloquium Mathematicae

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We consider the stochastic recursion $X ₙ = A ₙ X_{n - 1} + B ₙ$ for Markov dependent coefficients (Aₙ,Bₙ) ∈ ℝ⁺ × ℝ. We prove the central limit theorem, the local limit theorem and the renewal theorem for the partial sums Sₙ = X₁+ ⋯ + Xₙ.

Extending the Wong-Zakai theorem to reversible Markov processes

Richard F. Bass, B. Hambly, Terry Lyons (2002)

Journal of the European Mathematical Society

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We show how to construct a canonical choice of stochastic area for paths of reversible Markov processes satisfying a weak Hölder condition, and hence demonstrate that the sample paths of such processes are rough paths in the sense of Lyons. We further prove that certain polygonal approximations to these paths and their areas converge in $p$ -variation norm. As a corollary of this result and standard properties of rough paths, we are able to provide a significant generalization of the classical...

Optimal control and performance analysis of an queue with batches of negative customers

Jesus R. Artalejo, Antonis Economou (2010)

RAIRO - Operations Research

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We consider a Markov decision process for an queue that is controlled by batches of negative customers. More specifically, we derive conditions that imply threshold-type optimal policies, under either the total discounted cost criterion or the average cost criterion. The performance analysis of the model when it operates under a given threshold-type policy is also studied. We prove a stability condition and a complete stochastic comparison characterization for models operating under different...

Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Soňa Kilianová, Daniel Ševčovič (2018)

Kybernetika

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In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation ( $C V a R D$ ) based Sharpe ratio...

The right tail exponent of the Tracy–Widom $β$ distribution

Laure Dumaz, Bálint Virág (2013)

Annales de l'I.H.P. Probabilités et statistiques

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The Tracy–Widom $β$ distribution is the large dimensional limit of the top eigenvalue of $β$ random matrix ensembles. We use the stochastic Airy operator representation to show that as $a \to \infty$ the tail of the Tracy–Widom distribution satisfies $P ({𝑇𝑊}_{β} g t; a) = a^{- (3 / 4) β + o (1)} exp (- \frac{2}{3} β a^{3 / 2}) .$

On risk reserve under distribution constraints

Mariusz Michta (2000)

Discussiones Mathematicae Probability and Statistics

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The purpose of this work is a study of the following insurance reserve model: $R (t) = η + \int_{0}^{t} p (s, R (s)) d s + \int_{0}^{t} σ (s, R (s)) d W_{s} - Z (t)$ , t ∈ [0,T], P(η ≥ c) ≥ 1-ϵ, ϵ ≥ 0. Under viability-type assumptions on a pair (p,σ) the estimation γ with the property: $i n f_{0 \leq t \leq T} P R (t) \geq c \geq γ$ is considered.

A note on the existence of Gibbs marked point processes with applications in stochastic geometry

Martina Petráková (2023)

Kybernetika

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This paper generalizes a recent existence result for infinite-volume marked Gibbs point processes. We try to use the existence theorem for two models from stochastic geometry. First, we show the existence of Gibbs facet processes in $ℝ^{d}$ with repulsive interactions. We also prove that the finite-volume Gibbs facet processes with attractive interactions need not exist. Afterwards, we study Gibbs-Laguerre tessellations of $ℝ^{2}$ . The mentioned existence result cannot be used, since one of its...

Displaying similar documents to “Approximate evaluation of continuous review ( R , Q ) policies in two-echelon inventory systems with stochastic transportation times”

Displaying similar documents to “Approximate evaluation of continuous review $(R, Q)$ policies in two-echelon inventory systems with stochastic transportation times”