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Optimal Control Theory

Applications to Management Science and Economics

  • Suresh P.┬áSethi

Table of contents

  1. Front Matter
    Pages i-xxvii
  2. Suresh P. Sethi
    Pages 1-26
  3. Suresh P. Sethi
    Pages 27-67
  4. Suresh P. Sethi
    Pages 159-189
  5. Suresh P. Sethi
    Pages 191-223
  6. Suresh P. Sethi
    Pages 225-257
  7. Suresh P. Sethi
    Pages 259-281
  8. Suresh P. Sethi
    Pages 283-309
  9. Suresh P. Sethi
    Pages 311-333
  10. Suresh P. Sethi
    Pages 335-363
  11. Suresh P. Sethi
    Pages 365-384
  12. Suresh P. Sethi
    Pages 385-407
  13. Back Matter
    Pages 409-565

About this book

Introduction

This fully revised 3rd edition offers an introduction to optimal control theory and its diverse applications in management and economics. It brings to students the concept of the maximum principle in continuous and discrete time by using dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations faced in business and management. The book exploits optimal control theory to the functional areas of management science including finance, production and marketing and to economics of growth and of natural resources. In addition, this new edition features materials on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. The book provides exercises for each chapter and answers to selected exercises to help deepen the understanding of the material presented. Also included are appendices comprised of supplementary material on the solution of differential equations, the calculus of variations and its relationships to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems.

Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as a foundation for the book, which the author has applied to business management problems developed from his research and classroom instruction. The new edition has been completely refined and brought up to date. Ultimately this should continue to be a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers concerned with the application of dynamic optimization in their fields.

Keywords

Optimal Control Theory Maximum Principle Optimal Financing Model Production-Inventory Systems Optimal Epidemic Control Distributed Parameter Systems Impulse Control Stochastic Optimal Control Dynamic Programming Kuhn-Tucker Conditions

Authors and affiliations

  • Suresh P.┬áSethi
    • 1
  1. 1.Jindal School of Management, SM30University of Texas at DallasRichardsonUSA

Bibliographic information

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