Risk-sensitive production planning of a stochastic manufacturing system

Risk-sensitive production planning of a stochastic manufacturing system

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Article ID: iaor20011731
Country: United States
Volume: 36
Issue: 4
Start Page Number: 1147
End Page Number: 1170
Publication Date: Jul 1998
Journal: SIAM Journal on Control and Optimization
Authors: ,
Keywords: maintenance, repair & replacement
Abstract:

This paper is concerned with long-run average risk-sensitive control of production planning in a manufacturing system with machines that are subject to breakdown and repair. By using a logarithmic transformation, it is shown that the associated Hamilton–Jacobi–Bellman equation has a viscosity solution. The risk-sensitive control problem has a dynamic stochastic game interpretation. Finally, a limiting problem is obtained when the rates of machine breakdown and repair go to infinity.

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