Many infinite-horizon optimal control problems in management science and economics have optimal paths that approach some stationary level. Often, this path has the property of being the nearest feasible path to the stationary equilibrium. This paper obtains a simple multiplicative...

This paper deals with a manufacturing system consisting of a single machine subject to random failures and repairs. The machine can produce two types of parts. When the production is switched from one part type to the other a random setup time is incurred at a constant cost rate. The objective...

The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

In this paper we propose an algorithm for the solution of optimalcontrol problems with nonlinear models based on a generalised Gauss-Newton algorithm but making use of analytic model derivatives. Themethod is implemented in WinSolve, a general nonlinear model solution program

The article is devoted to the synthesis of optimal control of the conveyor belt with the accumulating input bunker. Much attention is given to the model of the conveyor belt with a constant speed of the belt. Simulation of the conveyor belt is carried out in the one-moment approximation using...

A numerical method for solving a class of fractional optimal control problems (FOCPs) is presented. First, the FOCP is transformed into an equivalent variational problem, then using Lagrange polynomials, the problem is reduced to the problem of solving a system of algebraic equations. With the...

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....