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STOCHASTIC OPTIMAL CONTROL OF ATO SYSTEMS WITH BATCH ARRIVALS VIA DIFFUSION APPROXIMATION

Published online by Cambridge University Press:  08 August 2007

Wanyang Dai  and
Qian Jiang
Wanyang Dai
Affiliation:
Department of Mathematics Nanjing University Nanjing 210093 People's Republic of China E-mail: [email protected]
Qian Jiang
Affiliation:
Department of Mathematics Nanjing University Nanjing 210093 People's Republic of China E-mail: [email protected]
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Abstract

We study the stochastic optimal control for an assemble-to-order system with multiple products and components that arrive at the system in random batches and according to renewal reward processes. Our purpose is to maximize expected infinite-horizon discounted profit by selecting product prices, component production rates, and a dynamic sequencing rule for assembly. We refine the solution of some static planning problem and a discrete review policy to batch arrival environment and develop an asymptotically optimal policy for the system operating under heavy traffic, which indicates that the system can be approximated by a diffusion process and exhibits a state space collapse property.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 21 , Issue 3 , July 2007 , pp. 477 - 495
Copyright
2007 Cambridge University Press

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