Management science applications frequently involve problems of controlling continuous time dynamic systems, that is, systems which evolve over time. Optimal control theory, a relatively new branch of mathematics, determines the optimal way to control such a dynamic system. The purpose of this...

First-order necessary and sufficient conditions are obtained for the following quasilinear distributed-parameter optimal control problem:max{J(u)=IntF(x,u,t)dw IntG(x,t)dsigma},subject to the partial differential equationA(t)x =f(x, u, t),where t, u, G are vectors and x, F are scalars. Use is...

This paper introduces continuous and discrete modern control theory, especially the free-end point versions of the maximum principle, to the field of finance. We shall not, however, go into the proofs and other mathematical details because they are available in the cited literature. Instead, we...

Production scheduling problem of style good manufacturer involves seasonal stochastic demands for their goods and limited production capacities. As a result, some production must take place before the selling season starts. The problem can be cast as a stochastic optimal control problem over...

We consider a production-inventory planning problem with time-varying demands, convex production costs and a warehouse capacity constraint. It is solved by use of the Lagrangian form of the maximum principle. The possible existence of strong decision and forecast horizons is demonstrated. When...

This paper describes a maximum principle for distributed parameter systems, i.e. systems characterized by partial differential equations. The maximum principle is applied to solve the problem of a cattle rancher who must decide the number of cattle in different age groups to be bought and sold...