Abstract
is held by author/owner(s). We study the control of a Brownian motion (BM) with a negative drift, so as to minimize a long-run average cost objective. We show the optimality of a class of reflection controls that prevent the BM from dropping below some negative level r, by cancelling out from time to time part of the negative drift; and this optimality is established for any holding cost function h(x) that is increasing in |x|. Furthermore, we show the optimal reflection level can be derived as the fixed point that equates the long-run average cost to the holding cost. We also show the asymptotic optimality of this reflection control when it is applied to production-inventory systems driven by discrete counting processes.
| Original language | English |
|---|---|
| Pages (from-to) | 3-5 |
| Number of pages | 3 |
| Journal | Performance Evaluation Review |
| Volume | 45 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Sept 2017 |
| Event | Workshop on MAthematical Performance Modeling and Analysis, MAMA 2017, 2017 Greenmetrics Workshop and Workshop on Critical Infrastructure Network Security, CINS 2017 - Urbana-Champaign, United States Duration: 1 Sept 2017 → … |
ASJC Scopus subject areas
- Software
- Hardware and Architecture
- Computer Networks and Communications