Volume no :6, Issue no: 2, November (2011)

Journal of Pure and Applied Mathematics: Advances and Applications

ABOUT PROJECTIONS IN THE IMPLEMENTATION OF STOCHASTIC QUASIGRADIENT METHODS TO SOME INVENTORY CONTROL PROBLEMS

Author's: STEFAN M. STEFANOV
Pages: [105] - [133]
Received Date: October 29, 2011
Submitted by:

Abstract

In this paper, we consider inventory control problems in a stochastic environment. After a brief description of stochastic quasigradient methods (SQM) for solving stochastic programming problems, algorithms of polynomial complexity are proposed for projecting the current approximation, generated by the SQM, onto feasible regions of two important inventory control problems. Convergence of suggested algorithms is proved, and some examples and results of computational experiments are presented.

Keywords

stochastic programming, stochastic quasigradient methods, inventory control, projection, algorithms.