Semester of Graduation
First Major Professor
Master of Science (MS)
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.
Xie, Bowen, "Long-run average cost minimization of a stochastic processing system" (2019). Creative Components. 284.