Storage model with discontinuous holding cost
We consider a Brownian storage system with stepwise holding cost and linear cost of disposal. There are no limits on the rate of disposal. We seek a policy which minimizes total discounted cost on an infinite interval. It is proved that the optimal policy is characterized by two points: one is a reflecting barrier, the second is a point of instantaneous displacement. When the process reaches the second point it must be instantly moved to the first point and kept below the first point with minimal efforts thereafter.
Year of publication: |
1984
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Authors: | Taksar, Michael I. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 18.1984, 2, p. 291-300
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Publisher: |
Elsevier |
Saved in:
Online Resource
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