We provide results for an efficient analytical valuation of partial moments of the multivariate Gaussian distribution over convex polyhedrons to aid the solution, sensitivity analysis and structural analysis of a large number of two-stage resource acquisition and allocation problems. These...

In this paper, we treat an optimal control problem of a stochastic two-machine flowshop with machines subject to random breakdown and repair. While the problem is difficult to solve, it can be approximated by a deterministic problem when the rates of machine failure and repair become large....

This paper presents an asymptotic analysis of hierarchical manufacturing systems with stochastic demand and machines subject to breakdown and repair as the rate of change in machine states approaches infinity. This situation gives rise to a limiting problem in which the stochastic machine...

This paper summarizes the results of its detailed version, which considers optimal infinite horizon stochastic production planning problems with capacity and demand to be finite state Markov chains. Turnpike set concepts are introduced to characterize the optimal inventory levels. It is shown...

We consider a production planning problem in an N-machine flowshop subject to breakdown and repair of machines and to non-negativity constraints on work-in process. The machine capacities and demand processes are assumed to be finite-state Markov chains. The problem is to choose the rates of...

This paper is concerned with the problem of production planning in a flexible manufacturing system consisting of a single or parallel failure-prone machines producing a number of different products. The objective is to choose the rates of production of the various products over time in order to...

This paper is concerned with the problem of production planning in a flexible manufacturing system consisting of a single or parallel failure-prone machines producing a number of different products. The objective is to choose the rates of production of the various products over time in order to...

This paper considers an infinite horizon stochastic production planning problem with demand assumed to be a continuous-time Markov chain. The problems with control (production) and state (inventory) constraints are treated. It is shown that a unique optimal feedback solution exists, after first...

Focuses on a study which developed a framework for forecast and decision horizons. Definition of finite and infinite horizon stochastic optimization problems for a given forecast; Description of the general framework; Conditions for the existence of a solution horizon; Development of sufficient...

In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the question of...