Technical Note—Preservation of Additive Convexity and Its Applications in Stochastic Optimization Problems

Xiting Gong () and Tong Wang ()
Additional contact information
Xiting Gong: Department of Decision Sciences and Managerial Economics, CUHK Business School, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong
Tong Wang: Department of Management Science, Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China 200030

Operations Research, 2021, vol. 69, issue 4, 1015-1024

Abstract: In this paper, we establish two preservation results of additive convexity for a class of optimal transformation problems and a class of optimal disposal problems. For both classes of problems, there are multiple resources; our results show that if these resources have different priorities to be transformed/disposed under the optimal policy, then the additive convexity and bounded monotonicity of the objective function are preserved to the value function after optimization. A key observation is that an optimal transformation problem with prioritized optimal decisions is equivalent to a serial inventory problem with zero lead times. We demonstrate the applications of our results to several stochastic optimization problems in operations management.

Keywords: dynamic programming/optimal control: applications; Markov; models; Operations and Supply Chains; dynamic programming; additive convexity; serial inventory systems; remanufacturing systems; inventory rationing; expediting; disposal; capacity management (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1287/opre.2020.2064 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:69:y:2021:i:4:p:1015-1024

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().