Open-loop control of stochastic fluid systems and applications

被引：0
|
作者：
Gaujal, Bruno
Rabehasaina, Landy
机构：
[1] UFR Sci & Techniques, F-25030 Besancon, France
[2] Univ Grenoble 1, Lab ID, INRIA, IMAG,CNRs, F-38330 Montbonnot St Martin, France
来源：
OPERATIONS RESEARCH LETTERS | 2007年 / 35卷 / 04期
关键词：
multimodularity; fluid queues; capital allocation;
D O I：
10.1016/j.orl.2006.07.005
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We consider a stochastic process Q(t) satisfying a linear differential equation, driven by a jump process which is modulated by a binary sequence. We prove multimodular properties related to the process Q(t) and apply those results to optimal strategies in storage systems models and in ruin problems. (c) 2006 Elsevier B.V. All rights reserved.
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页码：455 / 462
页数：8
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