Impulse Control of Brownian Motion: The Constrained Average Cost Case

@article{Matoglu2008ImpulseCO,
  title={Impulse Control of Brownian Motion: The Constrained Average Cost Case},
  author={Melda Ormeci Matoglu and J. G. Dai and John H. Vande Vate},
  journal={Operations Research},
  year={2008},
  volume={56},
  pages={618-629}
}
When a manufacturer places repeated orders with a supplier to meet changing production requirements, he faces the challenge of finding the right balance between holding costs and the operational costs involved in adjusting the shipment sizes. We consider an inventory whose content fluctuates as a Brownian motion in the absence of control. At any moment, a controller can adjust the inventory level by any positive or negative quantity, but incurs both a fixed cost and a cost proportional to the… CONTINUE READING

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