Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=51362#.VGVeQ2fHRK0 Author(s) Oscar S. Silva Filho Affiliation(s) Center for Information Technology Renato Archer—CTI, Campinas, Brazil . ABSTRACT In this paper, a single product, multi-period, aggregate production planning problem is formulated as a linear-quadratic Gaussian (LQG) optimal control model with chance constraints on state and control variables. Such formulation is based on a classical production planning model developed in 1960 by Holt, Modigliani, Muth and Simon, and known, since then, as the HMMS model [1]. The proposed LQG model extends the HMMS model, taking into account both chance-constraints on the decision v...
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