We consider infinite horizon production scheduling under stochastic demand. All problem data are allowed to vary across periods, including demand distributions, costs, and revenues. A forecast horizon, when it exists, is a finite problem horizon with the property that the corresponding first-period optimal production decision remains optimal regardless of demand and cost projections beyond this...

We propose a method for the control of multi-class queueing networks over a finite time horizon. We approximate the multi-class queueing network by a fluid network and formulate a fluid optimization problem which we solve as a separated continuous linear program. The optimal fluid solution partitions the time horizon to intervals in which constant fluid flow rates are maintained. We then use a ...

We investigate the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). The certainty equivalent is defined by U−1(EU(Y )) where U is an increasing function. In contrast to a risk-neutral decision maker this optimization criterion takes the variability of the cost into account. I...