Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide.
Christian-Oliver EwaldWen-Kai WangPublished in: Math. Soc. Sci. (2011)
Keyphrases
- infinite horizon
- optimal control problems
- optimal control
- finite horizon
- production planning
- dynamic programming
- stochastic demand
- inventory models
- single item
- average cost
- control strategy
- markov decision process
- inventory control
- long run
- single product
- optimal policy
- fixed cost
- optimal solution
- reinforcement learning
- control policies
- lot size
- mixed integer programming
- differential equations
- markov decision processes
- state space
- inventory policy
- np hard
- setup cost
- lost sales