Inventory processes: Quasi-regenerative property, performance evaluation, and sensitivity estimation via simulation

Inventory processes: Quasi-regenerative property, performance evaluation, and sensitivity estimation via simulation

0.00 Avg rating0 Votes
Article ID: iaor2004943
Country: United States
Volume: 18
Issue: 3
Start Page Number: 469
End Page Number: 496
Publication Date: Jul 2002
Journal: Stochastic Models
Authors: ,
Keywords: programming: probabilistic, simulation: applications
Abstract:

We consider a single–commodity, discrete-time, multiperiod (s,S)-policy inventory model with backlog. The cost function may contain holding, shortage, and fixed ordering costs. Holding and shortage costs may be nonlinear. We show that the resulting inventory process is quasi-regenerative, i.e., admits a cycle decomposition and indicates how to estimate the performance by Monte Carlo simulation. By using a conditioning method, the push-out technique, and the change-of-measure method, estimates of the whole response surface (i.e., the steady-state performance in dependence of the parameters s and S) and its derivatives can be found. Estimates for the optimal (s,S)-policy can be calculated then by numerical optimization.

Reviews

Required fields are marked *. Your email address will not be published.