Groupe d’études et de recherche en analyse des décisions

G-98-04

Robust Inventory-Production Control Problem with Stochastic Demand

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This paper deals with the inventory-production control problem where the produced items are supposed to be deteriorating with a rate that depends on the stochastic demand rate. The inventory-production control problem is formulated as a jump linear quadratic control problem. The optimal policy that solves the optimal control problem is obtained in terms of a set of coupled Riccati equations. The guaranteed cost control problem is also investigated.

, 23 pages