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Two-Stage Output Procedure of a Finite Dam

Dror Zuckerman
Journal of Applied Probability
Vol. 14, No. 2 (Jun., 1977), pp. 421-425
DOI: 10.2307/3213017
Stable URL: http://www.jstor.org/stable/3213017
Page Count: 5
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Two-Stage Output Procedure of a Finite Dam
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Abstract

The input of water into a finite dam is a Wiener process with positive drift. Water may be released at either of two possible rates 0 or M. At any time the output rate can be increased from 0 to M with cost KM, (K ≧ 0), or decreased from M to 0 with zero cost. There is a reward of A monetary units for each unit of output, (A > 0). We will consider the problem of specifying an optimal control output policy under the following optimal criteria: (a) Minimum total long-run average cost per unit time. (b) Minimum expected total discounted cost.

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