This paper proposes a new methodology to solve partially observed inventory problems. Generally, these problems have infinitedimensional states that are conditional distribution of the inventory level. Our methodology involves linearizing the state transitions via unnormalized probabilities. It...

This paper advances significantly the literature on the optimality of the base stock policy by generalizing the demand distribution and beginning with a completely general belief prior to be updated as demands are observed over time. As the value function depends on the belief, the functional...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

We deal with the problem of a profit-maximizing vendor selling a perishable product. At the beginningof a planning cycle, the vendor determines a minimum committed order per period. During the cycle, he may also place a supplemental order in each period based on the observed demand signal in...

This paper revisits the finite-horizon model of a censored newsvendor by Ding et al. [Ding, X., M. L. Puterman, A. Bisi. 2002. The censored newsvendor and the optimal acquisition of information. Oper. Res. 50 517ndash;527]. An important result claimed there without a proper proof is that the...

In many inventory control contexts, inventory levels are only partially (i.e., not fully) observed. This may be due to nonobservation of demand, spoilage, misplacement, or theft of inventory. We study a partially observed inventory system where the demand is not observed, inventory level is...

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the...

This paper considers an infinite horizon stochastic production planning problem with the constraint that production rate must be nonnegative. It is shown that an optimal feedback solution exists for the problem. Moreover, this solution is characterized and is then compared with the solution of...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

We consider a newsvendor problem with partially observed Markovian demand. Demand is observed if it is less than the inventory. Otherwise, only the event that it is larger than or equal to the inventory is observed. These observations are used to update the demand distribution from one period to...