Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems

doi:10.12005/orms.2015.0039

运筹与管理 ›› 2015, Vol. 24 ›› Issue (2): 1-19.DOI: 10.12005/orms.2015.0039

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Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems

ZHAO Xiu-li¹, WANG Shou-yang²

1.Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI 48109, USA;
2.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

收稿日期:2013-12-20 出版日期:2015-04-12
作者简介:Zhao Xiu-li received the Ph D. degree in Industrial Engineering and Operations Research from Columbia University, New York, 1989. He is currently a professor of Industrial and Operations Engineering at the University of Michigan, Ann Arbor. Shouyang Wang received the PhD degree in Operations Research from Institute of Systems Science, Chinese Academy of Sciences, Beijing, 1986. He is currently a Changjiang professor of Management Science at University of Chinese Academy of Sciences.
基金资助:
National Natural Science Foundation of China(Grant No.71390330)

Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems

ZHAO Xiu-li¹, WANG Shou-yang²

1.Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI 48109, USA;
2.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received:2013-12-20 Online:2015-04-12
About author:Zhao Xiu-li received the Ph D. degree in Industrial Engineering and Operations Research from Columbia University, New York, 1989. He is currently a professor of Industrial and Operations Engineering at the University of Michigan, Ann Arbor. Shouyang Wang received the PhD degree in Operations Research from Institute of Systems Science, Chinese Academy of Sciences, Beijing, 1986. He is currently a Changjiang professor of Management Science at University of Chinese Academy of Sciences.
Supported by:
National Natural Science Foundation of China(Grant No.71390330)

摘要/Abstract

摘要： For most firms, especially the small-and medium-sized ones, the operational decisions are affected by their internal capital and ability to obtain external capital. However, the majority of the current studies on dynamic inventory control ignore the firm’s financial status and financing issues completely. An important question that arises is: what are the dynamic optimal inventory and financing policies for firms with limited capital and limited access to external capital? In this paper, we review some of the latest developments in this area. After a brief review of single period models, we focus on multi-period dynamic control of the firm who aims to optimize its xpected terminal wealth. Two cases are discussed in detail: self-finance and short term finance. In the first case, the firm has to rely on its own capital for all ordering decisions, while in the second, the firm can borrow short term loan from lenders. A detailed characterization of the optimal policy is presented and its managerial insights are discussed. Several possible extensions are suggested.

关键词: dynamic inventory control, capital constraint, self-finance, short-term financing, optimal policy

Abstract: For most firms, especially the small-and medium-sized ones, the operational decisions are affected by their internal capital and ability to obtain external capital. However, the majority of the current studies on dynamic inventory control ignore the firm’s financial status and financing issues completely. An important question that arises is: what are the dynamic optimal inventory and financing policies for firms with limited capital and limited access to external capital? In this paper, we review some of the latest developments in this area. After a brief review of single period models, we focus on multi-period dynamic control of the firm who aims to optimize its xpected terminal wealth. Two cases are discussed in detail: self-finance and short term finance. In the first case, the firm has to rely on its own capital for all ordering decisions, while in the second, the firm can borrow short term loan from lenders. A detailed characterization of the optimal policy is presented and its managerial insights are discussed. Several possible extensions are suggested.

Key words: dynamic inventory control, capital constraint, self-finance, short-term financing, optimal policy

ZHAO Xiu-li, WANG Shou-yang. Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems[J]. 运筹与管理, 2015, 24(2): 1-19.

ZHAO Xiu-li, WANG Shou-yang. Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems[J]. Operations Research and Management Science, 2015, 24(2): 1-19.

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Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems

Dynamic Control and Optimization of CapitalConstrained Stochastic Inventory Systems

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