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...

We study infinite-horizon stochastic inventory problems with general demand distributions and piecewise linear concave ordering costs. Such costs arise in the important cases of quantity discounts or multiple suppliers. We consider the case of concave cost involving two linear segments. This...

Two types of quantity discounts are treated in the literature, namely, 'all units' discounts and incremental quantity discounts. In the all units quantity discounts model. the discount applies to every unit purchased. As a result, the total purchase cost is a discontinuous function of the...

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

An asymptotic analysis of a hierarchical manufacturing system with machines subject to breakdown and repair is presented. The machine fluctuations are much faster than the accumulation and discounting of costs, and this gives rise to a limiting problem in which the stochastic machine...

Scheduling methods are proposed for a class of flexible manufacturing systems consisting of machine centers served by a cyclic conveyor. The minimization of finish time is considered as the optimization criterion. An optimal algorithm is proposed for the minimum conveyor speed (S = 1) for a...

This paper describes a flow rate control policy to manage the production of a wafer fabrication facility. The policy is derived by formulating and solving a stochastic control problem. The results are then used to develop two sets of production control rules. The first one adjusts the lot...

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...

This paper presents a state-of-the-art review of asymptotic analyses of hierarchical manufacturing systems with stochastic demand and machines subject to breakdown and repair. The rate of change in machine states is much larger than the rate of fluctuation in demand and the rate of discounting...

This paper presents an asymptotic analysis of hierarchical investment and production decisions in a manufacturing system with machines subject to breakdown and repair. The demand facing the system is assumed to be a given constant. The production capacity can be increased by purchasing a new...