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A stochastic optimal control approach to a class of production and inventory problems

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Abstract

A comprehensible and unified system control approach is presented to solve a class of production/inventory smoothing problems. A nonstationary, non-Gaussian, finite-time linear optimal solution with an attractive computation scheme is obtained for a general quadratic and linear cost structure. A complete solution to a classical production/inventory control problem is given as an example. A general solution to the discrete-time optimal regulator with arbitrary but known disturbance is provided and discussed in detail. A computationally attractive closed-loop suboptimal scheme is presented for problems with constraints or nonquadratic costs. Implementation and interpretation of the results are discussed.

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Author notes

  1. K. M. Tao (Staff Member)

    Present address: General Electric Company, San Jose, California

Authors and Affiliations

  1. ESL Inc., Sunnyvale, California

    K. M. Tao (Staff Member)

  2. School of Information and Computer Science, Georgia Institute of Technology, Atlanta, Georgia

    P. Zunde (Professor)

Authors
  1. K. M. Tao
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  2. P. Zunde
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Additional information

Communicated by L. A. Zadeh

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Tao, K.M., Zunde, P. A stochastic optimal control approach to a class of production and inventory problems. J Optim Theory Appl 49, 289–317 (1986). https://doi.org/10.1007/BF00940761

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  • DOI: https://doi.org/10.1007/BF00940761

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