Probabilistic Analysis of Renewal Cycles: An Application to a Non-Markovian Inventory Problem with Multiple Objectives

Many stochastic optimization problems are solved using the renewal reward theorem (RRT). Once a regenerative cycle is identified, the objective function is formed as the ratio of the expected cycle cost to the expected cycle time and optimized using the standard techniques. Application of the RRT requires only the first moments of the cycle-related random variables. However, if the start of a cycle corresponds to an important event, e.g., end …