The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach.
Mehmet Akif YaziciNail AkarPublished in: Ann. Oper. Res. (2017)
Keyphrases
- infinite horizon
- holding cost
- optimal control
- markov chain
- finite horizon
- optimal policy
- long run
- stochastic demand
- fluid model
- markov decision processes
- dynamic programming
- production planning
- state space
- lead time
- state dependent
- markov decision process
- partially observable
- fixed cost
- single item
- arrival rate
- average cost
- queue length
- finite number
- dec pomdps
- lot sizing
- long run average cost
- steady state
- periodic review
- inventory models
- queueing networks
- lost sales
- real time
- search algorithm
- machine learning