Degree Type
Creative Component
Semester of Graduation
Spring 2019
Department
Mathematics
First Major Professor
Ananda Weerasinghe
Degree(s)
Master of Science (MS)
Major(s)
Applied Mathematics
Abstract
A long-run average cost problem in stochastic control theory is addressed. This problem is related to the optimal control of a production-inventory system which is subjected to random fluctuation. The approach taken here is based on finding a smooth solution to the corresponding Hamilton-Jacobi-Bellman equation. This solution in turn is used to derive an optimal process for the above long-run average cost problem. Using the invariant distributions for positive recurrent diffusion processes, another derivation for the optimal long-run average cost is provided here.
Copyright Owner
Xie, Bowen
Copyright Year
2019
File Format
Recommended Citation
Xie, Bowen, "Long-run average cost minimization of a stochastic processing system" (2019). Creative Components. 284.
https://lib.dr.iastate.edu/creativecomponents/284
Included in
Control Theory Commons, Other Applied Mathematics Commons, Partial Differential Equations Commons