OPTIMALITY OF AN (s, S) POLICY WITH COMPOUND POISSON AND DIFFUSION DEMANDS: A QUASI-VARIATIONAL INEQUALITIES APPROACH

LAKDERE BENKHEROUF; ALAIN BENSOUSSAN

doi:10.1137/080715883

OPTIMALITY OF AN (s, S) POLICY WITH COMPOUND POISSON AND DIFFUSION DEMANDS: A QUASI-VARIATIONAL INEQUALITIES APPROACH

LAKDERE BENKHEROUF
, ALAIN BENSOUSSAN

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

34 Citations (Scopus)

Abstract

This paper revisits the paper of Bensoussan, Liu, and Sethi where they proposed a single item continuous-time inventory model where demand is a mixture of a diffusion process and a compound Poisson process. They showed that in a continuous review setting an (s,S) policy is optimal when the jump sizes are exponentially distributed. However, the case where the jump sizes are general was not solved completely. This paper solves this case.

Original language	English
Pages (from-to)	756-762
Journal	SIAM Journal on Control and Optimization
Volume	48
Issue number	2
Online published	20 Feb 2009
DOIs	https://doi.org/10.1137/080715883
Publication status	Published - 2009
Externally published	Yes

Research Keywords

Impulse control
Inventory control
Quasi-variational inequality

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10.1137/080715883

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AU - BENSOUSSAN, ALAIN

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N2 - This paper revisits the paper of Bensoussan, Liu, and Sethi where they proposed a single item continuous-time inventory model where demand is a mixture of a diffusion process and a compound Poisson process. They showed that in a continuous review setting an (s,S) policy is optimal when the jump sizes are exponentially distributed. However, the case where the jump sizes are general was not solved completely. This paper solves this case.

AB - This paper revisits the paper of Bensoussan, Liu, and Sethi where they proposed a single item continuous-time inventory model where demand is a mixture of a diffusion process and a compound Poisson process. They showed that in a continuous review setting an (s,S) policy is optimal when the jump sizes are exponentially distributed. However, the case where the jump sizes are general was not solved completely. This paper solves this case.

KW - Impulse control

KW - Inventory control

KW - Quasi-variational inequality

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JO - SIAM Journal on Control and Optimization

JF - SIAM Journal on Control and Optimization

IS - 2

ER -

OPTIMALITY OF AN (s, S) POLICY WITH COMPOUND POISSON AND DIFFUSION DEMANDS: A QUASI-VARIATIONAL INEQUALITIES APPROACH

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Research Keywords

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