Optimization under the p(lambda, tau)(M) policy of a finite dam with both continuous and jumpwise inputs

Abstract

We consider a finite dam under the P-lambda,tau(M) policy, where the input of water is formed by a Wiener process subject to random jumps arriving according to a Poisson process. The long-run average cost per unit time is obtained after assigning costs to the changes of release rate, a reward to each unit of output, and a penalty that is a function of the level of water in the reservoir.