On the numerical solution of separable stochastic inventory control problems

Abstract

Separable stochastic inventory control problems and stochastic quasigradient methods for solving stochastic optimization problems are considered in this paper. Polynomial algorithms are proposed for numerical implementation of projection operation of the current iterate, obtained by the stochastic quasigradient methods, on feasible regions of some inventory control problems. Availability of such efficient algorithms is important because the projection operation is implemented at each iteration of stochastic quasigradient methods. It is proved that the suggested algorithms are convergent, and results of computational experiments are presented.