Optimal capacity expansion under uncertainty
- 1 March 1987
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 19 (1) , 156-176
- https://doi.org/10.2307/1427378
Abstract
Capacity expansion is the process of providing new facilities over time to meet rising demand. A general mathematical model of this process is presented, incorporating uncertain future demand (including the possibility of ‘surprises’), non-zero lead times and random cost overruns. In this model the decision maker controls the rate of investment in the current expansion project. Optimization is studied by methods of stochastic control theory. Numerical algorithms are presented which determine the optimal policy in some simple cases.Keywords
This publication has 10 references indexed in Scilit:
- Optimal control of piecewise deterministic markov processStochastics, 1985
- Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic ModelsJournal of the Royal Statistical Society Series B: Statistical Methodology, 1984
- Operations Research and Capacity Expansion Problems: A SurveyOperations Research, 1982
- Capacity Expansion when Demand Is a Birth-Death Random ProcessOperations Research, 1980
- Capacity expansion of a deteriorating facility under uncertaintyRairo-Operations Research, 1979
- Capacity expansion for water resource facilities: a control theoretic algorithm for nonstationary uncertain demandsAdvances in Water Resources, 1977
- Uncertainty and Lags in the Investment Decisions of FirmsThe Review of Economic Studies, 1977
- A general markov decision method I: Model and techniquesAdvances in Applied Probability, 1977
- Nonlinear filtering with counting observationsIEEE Transactions on Information Theory, 1975
- Deterministic and Stochastic Optimal ControlPublished by Springer Nature ,1975