Work

Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes

Year: 2020

Type: article

Abstract: We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier replenishment policy that restocks any shortage below a certain threshold at each replenishment opportunity. The optimal policies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/18m1196406

Authors: José-Luis Pérez, Kazutoshi Yamazaki, Alain Bensoussan

Language: English

Topic: Supply Chain and Inventory Management

Subfield: Management Information Systems

Field: Business, Management and Accounting

Domain: Social Sciences

Open Access status: hybrid

Funders: National Science Foundation, Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science, Division of Mathematical Sciences

Awards: Parisian reflection strategies and dynamic optimization, G2877649058, G2880906595, Limit theorems for diffusions, Levy processes and their variants with their applications, Numerical analysis of continuous branching process and applications in finance, G8418471842, G905166460

OpenAlex ID: W2810599587

FWCI: 1.7

Cites: 20

Cited by: 13

Related to: 10