Abstract
This paper studies optimal hedging policy for a failure prone one-machine system. The machine produces one type of product and its demand has batch arrival. The inter-arrival time of the demand, up time of the machine and processing time for one unit of product are exponentially distributed. When the machine is down, it is subject to a sequence of l repairing phases. In each phase, the repair time is exponentially distributed. The machine states and the inventory levels are modeled as Markov processes and an efficient algorithm is presented to solve the steady state probability distribution. The average running cost for the system can be written in terms of the steady state distribution. The optimal hedging point can then be obtained by varying different values of hedging point.
This work was partly supported by CUHK Direct Grant No.220500660 and RGC Earmarked Grant CUHK 249/94E.
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Ching, W.K., Zhou, X.Y. (1996). Matrix methods in production planning of failure prone manufacturing systems. In: Yin, G., Zhang, Q. (eds) Recent Advances in Control and Optimization of Manufacturing Systems. Lecture Notes in Control and Information Sciences, vol 214. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0015112
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DOI: https://doi.org/10.1007/BFb0015112
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