Optimal Ordering Policies with Stochastic Demand and Price Processes
Optimal Ordering Policies with Stochastic Demand and Price Processes
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DOI：
10.1142/s0217595912500376
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发表时间：
2012-12
期刊：
影响因子：
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通讯作者：
Kimitoshi Sato;K. Sawaki
中科院分区：
文献类型：
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作者：
Kimitoshi Sato;K. Sawaki
本文考虑了企业利用现货市场进行采购以实现总贴现成本最小化的库存模型。该模型可表述为需求和现货价格服从扩散随机过程的脉冲控制问题。我们探索了最优策略存在的充分条件。进一步，我们导出了一个最优策略为（s, s）策略，其中s和s作为联立方程的解是唯一确定的。最后，给出了最优策略的一些解析性质。并给出了一些数值算例。
In this paper, we consider an inventory model in which a firm uses the spot market for procurement in order to accomplish the minimization of total discounted costs. The model can be formulated as impulse control problem where the demand and spot price follow diffusion stochastic processes. We explore sufficient conditions under which an optimal policy exists. Furthermore, we derive an optimal policy as an (s, S) policy where s and S are uniquely determined as a solution of simultaneous equation. Finally, we show some analytical properties of the optimal policy. Some numerical examples are also presented.