Abstract
We consider an infinite-capacity storage system. The cumulative input to the system is assumed to be either (a) a non-decreasing Lévy process or (b) an integrated continuous-time Markov chain. Reward accumulates at a rate depending on the instantaneous release rate. The objective is to choose the release rule in such a way as to maximize the expected total discounted return. In this note we show how to determine the expected discounted return when the release rate is either constant or a linear function of the content.
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Attia, F.A., Brockwell, P.J. On the control of an infinite capacity storage system. Stochastic Hydrol Hydraul 7, 195–204 (1993). https://doi.org/10.1007/BF01585598
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DOI: https://doi.org/10.1007/BF01585598