Open-loop control of stochastic fluid systems and applications

Authors:
Bruno Gaujal;Landy Rabehasaina
Affiliations:
Lab. ID, INRIA-IMAG-CNRS-UJF, 38330 Montbonnot, France;UFR Sciences et techniques - 16, route de Gray - 25 030 Besançon cedex, France
Venue:
Operations Research Letters
Year:
2007

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Abstract

We consider a stochastic process Q(t) satisfying a linear differential equation, driven by a jump process which is modulated by a binary sequence. We prove multimodular properties related to the process Q(t) and apply those results to optimal strategies in storage systems models and in ruin problems.