نتایج جستجو برای: rolling horizon framework

تعداد نتایج: 506125  

2017
Fuying Jing Zirui Lan

This paper studies a multi-item dynamic lot size problem for perishable products where stock deterioration rates and inventory costs are age-dependent. We explore structural properties in an optimal solution under two cost structures and develop a dynamic programming algorithm to solve the problem in polynomial time when the number of products is fixed. We establish forecast horizon results tha...

2009
Peter Hokayem Debasish Chatterjee John Lygeros

This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a nonlinear feedback policy with respect to noise measurements and show that the resulting mathematical program has a tractable convex solution in both cases. Moreov...

Journal: :Operations Research 2010
Wilco van den Heuvel Albert P. M. Wagelmans

In this paper we analyze the worst case performance of heuristics for the classical economic lot-sizing problem with time-invariant cost parameters. We consider a general class of on-line heuristics that is often applied in a rolling horizon environment. We develop a procedure to systematically construct worst case instances for a fixed time horizon and use it to derive worst case problem insta...

1997
Consol Bonds MAREK RUTKOWSKI

The time evolution of a sliding bond is studied in a discrete-and continuous-time setup (by deenition, a sliding bond represents the price process of a discount bond with a xed time to maturity). Examples of measure-valued trading strategies (introduced by Bjj ork et al. 2],,3]), which are based on the price process of a sliding bond, are provided. In particular, a strategy which involves holdi...

2003
JAMES A. HILL WILLIAM L. BERRY DAVID A. SCHILLING

Revising the master production schedule (MPS) in a rolling planning horizon environment to improve plant performance is critical in process industries with sequence dependent changeovers. Plant performance is defined in terms of process changeover time, total shortages, and finished goods inventory. Two heuristics for revising the MPS are introduced and tested against a rolling horizon MPS that...

Journal: :EURO Journal on Transportation and Logistics 2021

We study the planning of a multi-modal transportation system with perishable products, demand uncertainty and repositioning empty Returnable Transport Items (RTIs). propose rolling horizon framework where we periodically re-optimize. As such, relevant responses actions to new occurred are taken, possible updates plans can be made. Our considers customer demand, formulated as Scenario-based Two-...

Journal: :Annals OR 2012
Eugenio Della Vecchia Silvia Di Marco Alain Jean-Marie

This paper is concerned with the links between the Value Iteration algorithm and the Rolling Horizon procedure, for solving problems of stochastic optimal control under the long-run average criterion, in Markov Decision Processes with finite state and action spaces. We review conditions of the literature which imply the geometric convergence of Value Iteration to the optimal value. Aperiodicity...

Journal: :IEEE Transactions on Automatic Control 2023

This note re-visits the rolling-horizon control approach to problem of Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from classical value-iteration approaches, we develop an asynchronous on-line algorithm based on policy iteration integrated a multi-policy improvement method switching. A sequence monotonically improving solutions forecas...

Journal: :Flexible Services and Manufacturing Journal 2015

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