ON THE CONTROL OF AN INFINITE CAPACITY STORAGE-SYSTEM

Authors
ATTIA FA BROCKWELL PJ
Citation
Fa. Attia et Pj. Brockwell, ON THE CONTROL OF AN INFINITE CAPACITY STORAGE-SYSTEM, Stochastic hydrology and hydraulics, 7(3), 1993, pp. 195-204
Citations number
7
Categorie Soggetti
Mathematical Method, Physical Science","Water Resources","Environmental Sciences","Statistic & Probability
Journal title
Stochastic hydrology and hydraulics → ACNP
ISSN journal
09311955
Volume
7
Issue
3
Year of publication
1993
Pages
195 - 204
Database
ISI
SICI code
0931-1955(1993)7:3<195:OTCOAI>2.0.ZU;2-Q
Abstract
We consider an infinite-capacity storage system. The cumulative input to the system is assumed to be either (a) a non-decreasing Levy proces s or (b) an integrated continuous-time Markov chain. Reward accumulate s at a rate depending on the instantaneous release rate. The objective is to choose the release rule in such a way as to maximize the expect ed total discounted return. In this note we show how to determine the expected discounted return when the release rate is either constant or a linear function of the content.