Abstract Research background Markov Decision Processes ( MDPs ) are a powerful framework for modeling many real-world problems with finite-horizons that maximize the reward given sequence of actions. Although such as investment and financial market where value decreases exponentially time, require introduction interest rates. Purpose This study investigates non-stationary finite-horizon discoun...

the problem of lot sizing, sequencing and scheduling multiple products in flow line production systems has been studied by several authors. almost all of the researches in this area assumed that setup times and costs are sequence –independent even though sequence dependent setups are common in practice. in this paper we present a new mixed integer non linear program (minlp) and a heuristic meth...

Motivated by the objective to further reduce the storage and computation time required by finite-horizon discrete-time optimal reduced-order LQG compensators, this paper introduces the modified reachability canonical form of a minimal finite-horizon discrete-time compensator and an algorithm to compute it. Next recursive algorithms for efficient storage and recovery of the compensator matrices ...

In this paper, the finite horizon H∞ control problem is solved for a class of linear quantum systems using a dynamic game approach for the case of sampled-data measurements. The methodology adopted involves a certain equivalence between the quantum problem and an auxiliary classical stochastic problem. Then, by solving the finite horizon H∞ control problem for the equivalent stochastic problem ...

In today’s competitive world, the cost of high-tech products declines significantly over their life cycle. An inventory model for such products is developed for an ordering policy of raw materials, and finished goods which is delivered to the customer at a fixed interval of time in a fixed quantity. This model integrates the raw material inventory with the finished goods inventory along the sup...

In this paper, finite and infinite horizon stochastic H2/H∞ control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled matrix-valued differential equations, and that of infinite horizon stochastic H2/H∞ control is equivale...

in this paper, a multi-period and multi-resource operating room (or) scheduling and rescheduling problem with elective and semi-elective (semi-urgent) patients is addressed. a scheduling-rescheduling framework based on the so-called rolling horizon approach is proposed to solve the problem. the core of the proposed framework is a novel proposed mixed-integer linear programming (milp) model with...

The problem of investment allocation between regions has been studied in the sixties using the techniques of modern control theory [e.g., Rahman (1963), Intriligator (1964), Takayama (1974)]. All these studies used constant capital-output ratio for the production function and a finite horizon optimization problem. Pitchford (1977) discussed extension to general production function and infinite ...