Ergodic inventory control with diffusion demand and general ordering costs

Bo Wei; Dacheng Yao

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arXiv · 2012.02912

Ergodic inventory control with diffusion demand and general ordering costs

Bo Wei·Dacheng Yao

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Abstract

In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on the order quantity and is given by a general function, which is not even necessarily continuous and monotone. By applying a lower bound approach together with a comparison theorem, we show the global optimality of an $(s,S)$ policy for this ergodic inventory control problem.

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Bo Wei, Dacheng Yao. 2020-12-05. Ergodic inventory control with diffusion demand and general ordering costs. https://arxiv.org/abs/2012.02912

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