Linear Quadratic Gaussian Problem with Constraints
نویسنده
چکیده
In this paper, an aggregate production-planning problem is formulated as a stochastic linear quadratic problem with chance constraints on state and control variables. The stochastic model proposed extends the classical aggregate model developed by Holt, Modigliani, Muth and Simon (HMMS). As an example of application, an equivalent deterministic problem is developed from the stochastic model. This deterministic problem provides an open-loop solution that allows manager to get important insight about the use of the company’s material resources.
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