Summary
In the literature to date there have only been case study applications of corporate models with a structure expressed in first order coupled differential or difference equations. The paper deals with the optimal analytic and deterministic solution of a corporate submodel using the maximum principle. A stochastic extension using Monte-Carlo simulation together with variance reduction techniques is also discussed.
Zusammenfassung
Bis jetzt wurden Unternehmensmodelle, deren Struktur sich durch gekoppelte Differentialoder Differenzgleichungen darstellen ließ, nur in Fallstudien eingesetzt. Die vorliegende Arbeit zeigt, wie eine optimale deterministische Lösung eines einfachen Untermodells durch Anwendung des Maximum-Prinzips gefunden werden kann. Für zufällig streuende Modellparameter wird eine optimale Lösung unter Verwendung der Monte-Carlo-Methode und varianzreduzierenden Methoden empirisch hergeleitet.
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Rosenkranz, F. Deterministic solution and stochastic simulation of a simple production-inventory model. Zeitschrift für Operations Research 17, 141–152 (1973). https://doi.org/10.1007/BF01956730
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DOI: https://doi.org/10.1007/BF01956730