CONVEX-STOCHASTIC PROGRAMMING AND MULTILOCATION INVENTORY PROBLEMS

This paper examines a convex programming problem that arises in several contexts. In particular, the formulation was motivated by a generalization of the stochastic multilocation problem of inventory theory. The formulation also subsumes some ″active″ models of stochastic programming. A qualititative analysis of the problem is presented and it is shown that optimal policies have a certain geometric form. Properties of the optimal policy and of the optimal value function are described.