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Risk-sensitive inventory control problems

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2 Author(s)
Avila-Godoy, G.M. ; Departamento de Matematicas, Sonora Univ., Mexico ; Fernandez-Gaucherand, E.

Summary form only given. We study an inventory control problem, under a stochastic demand process and with risk (i.e., variance) sensitive optimality criteria. Using convexity and semimodularity-type arguments, we present sufficient conditions for an optimal base-stock policy to exist, in the finite horizon problem. For the infinite horizon case, we show that there exists an ultimately stationary base-stock optimal policy

Published in:

Decision and Control, 2001. Proceedings of the 40th IEEE Conference on  (Volume:5 )

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