Dynamic Programming and Optimal Control 第四章习题

4.3 Consider an inventory problem similar to the problem of Section 4.2 (zero fixed cost). The only difference is that at the beginning of each period $k$ the decision maker, in addition to knowing the current inventory level $x_k$, receives an accurate forecast that the demand $w_k$ will be selected in accordance with one out of two possible probability distributions $P_{\ell },P_s$ (large demand, small demand). The a priori probability of a large demand forecast is known (d. Section 1.4).
(1) Obtain the optimal ordering policy for the case of a single-period problem.
(2) Extend the result to the $N$-period case.
(3) Extend the result to the case of any finite number of possible distributions.
Solution. (1) Assume the priori probability of $P_{\ell },P_s$ is $p_{\ell },p_s$ respectively.
$$J_1(x_1,y_1)=0$$ $$J_0(x_0,y_0)=p_s\cdot \underset{u_0}{\min }\left[c{u}_0+H(x_0+u_0-w_0)\right]+p_{\ell }\cdot \underset{u_0}{\min }\left[c{u}_0+H(x_0+u_0-w_0)\right]$$ = c u 0 + p ⋅ p s ( x 0 + u 0 − w 0 ) − h ⋅ p ℓ ( x 0 + u 0 − w 0 ) =cu_0+p\cdot p_s(x_0+u_0-w_0)-h\cdot p_{\ell}(x_0+u_0-w_0)\qquad\qquad =cu