Baten, Md Azizul and Khalid, Ruzelan (2017) Extended optimal stochastic production control model with application to economics. Journal of Intelligent & Fuzzy Systems, 32 (3). pp. 1847-1854. ISSN 1064-1246

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Abstract

This study considers an inventory control system meeting uncertain demand in continuous time.The demand is a function of both time and price, with the price evolves as a Wiener process with no drift. The goal is to use the stochastic optimal control principle to completely solve a production planning model for the demand rate.A stochastic optimal control problem is formulated in which the stochastic differential equations of a type known as Ito’s equations are considered which are perturbed by a Markov diffusion process and analyzed by the optimal control of a single dimension stochastic production planning model. The existence of a complete solution to the associated HJB equation is established and the optimal policy is characterized. Numerical examples and solutions of this optimal control model are then presented.

Item Type:	Article
Uncontrolled Keywords:	Markov process, stochastic Ito differential equation, optimal control, diffusion process, stochastic demand
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Mr. Ruzelan Khalid
Date Deposited:	16 Apr 2017 06:10
Last Modified:	04 May 2017 06:39
URI:	https://repo.uum.edu.my/id/eprint/21582

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