The application of dynamic programming to optimal inventory control
File(s)Berovic_IEEE_04.pdf (928.53 KB)
Published version
Author(s)
Berovic, DP
Vinter, RB
Type
Journal Article
Abstract
This paper concerns a class of deterministic impulse control problems, arising in inventory control. A notable feature of the problem formulation is the presence of an end-point constraint. In consequence, the value function may be discontinuous. Viability theory provides a characterization of the value function as the unique lower semicontinuous solution to a Bensoussan-Lions type quasi-variational inequality (QVI), suitably interpreted for nondifferentiable, extended valued functions. Yet there are few examples in the literature of the use of this analytical machinery. This paper provides such an example. The example, which concerns a problem for which the value function is neither everywhere finite valued nor continuously differentiable on the interior of its effective domain, illustrates what is involved in calculating subdifferentials and checking satisfaction of QVI (in a generalized sense). This paper also provides a summary of the underlying theory, and gathers in the Appendix proofs of key results.
Version
Published version
Date Issued
2004-05
Citation
IEEE T AUTOMAT CONTR, 2004, 49 (5), pp.676-685
ISSN
0018-9286
Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
Start Page
676
End Page
685
Journal / Book Title
IEEE T AUTOMAT CONTR
Volume
49
Issue
5
Copyright Statement
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Source Volume Number
49
Subjects
dynamic programming
hybrid control
impulse control
operations research
optimal control
EQUATIONS
SYSTEMS