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Optimality of (s, S) policies for jump inventory models

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  • Lakdere Benkherouf
  • Michael Johnson

Abstract

This paper is concerned with the optimality of (s, S) policies for a single-item inventory control problem which minimizes the total expected cost over an infinite planning horizon and where the demand is driven by a piecewise deterministic process. Our approach is based on the theory of quasi-variational inequality. Copyright Springer-Verlag Berlin Heidelberg 2012

Suggested Citation

  • Lakdere Benkherouf & Michael Johnson, 2012. "Optimality of (s, S) policies for jump inventory models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 377-393, December.
    • Handle: RePEc:spr:mathme:v:76:y:2012:i:3:p:377-393
    DOI: 10.1007/s00186-012-0411-8
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    References listed on IDEAS

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    1. Ralf Korn, 1998. "Portfolio optimisation with strictly positive transaction costs and impulse control," Finance and Stochastics, Springer, vol. 2(2), pages 85-114.
    2. Abel Cadenillas & Peter Lakner & Michael Pinedo, 2010. "Optimal Control of a Mean-Reverting Inventory," Operations Research, INFORMS, vol. 58(6), pages 1697-1710, December.
    3. Urban, Timothy L., 2005. "Inventory models with inventory-level-dependent demand: A comprehensive review and unifying theory," European Journal of Operational Research, Elsevier, vol. 162(3), pages 792-804, May.
    4. Goyal, S. K. & Giri, B. C., 2001. "Recent trends in modeling of deteriorating inventory," European Journal of Operational Research, Elsevier, vol. 134(1), pages 1-16, October.
    5. Marcel Corstjens & Peter Doyle, 1981. "A Model for Optimizing Retail Space Allocations," Management Science, INFORMS, vol. 27(7), pages 822-833, July.
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