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Application of average dynamic programming to inventory systems

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Abstract

We show the existence ofaverage cost (AC-) optimal policy for an inventory system withuncountable state space; in fact, the AC-optimal cost and an AC-optimal stationary policy areexplicitly computed. In order to do this, we use a variant of thevanishing discount factor approach, which have been intensively studied in recent years but the available results not cover the inventory problem we are interested in.

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The work of the first author (OVA) was partially supported by Fondo del Sistema de Investigación del Mar de Cortéz under grant SIMAC/94/CT-005. The work of the second author (RMdO) was partially supported by Consejo Nacional de Ciencia y Tecnologia (CONACyT) under grant 0635P-E9506.

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Vega-Amaya, O., Montes-de-Oca, R. Application of average dynamic programming to inventory systems. Mathematical Methods of Operations Research 47, 451–471 (1998). https://doi.org/10.1007/BF01198405

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  • DOI: https://doi.org/10.1007/BF01198405

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