Optimal control theory : applications to management science and economics / Suresh P. Sethi.
Sethi, Suresh P., author.
2021
HD30.25 .S48 2021eb
Available Online

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Title Optimal control theory : applications to management science and economics / Suresh P. Sethi.
Author Sethi, Suresh P., author.
Edition Fourth edition.
ISBN 9783030917456 (electronic bk.)
3030917452 (electronic bk.)
9783030917449
3030917444
DOI https://doi.org/10.1007/978-3-030-91745-6
Published Cham : Springer, [2021]
Copyright ©2021
Language English
Description 1 online resource (xxvii, 506 pages : illustrations (some color)).
Other Standard Identifiers 10.1007/978-3-030-91745-6 doi
Call Number HD30.25 .S48 2021eb
Dewey Decimal Classification 658.4/033
Summary This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining 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 encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties 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 the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed January 12, 2022).
Series Springer texts in business and economics.
Available in Other Form Print version: 9783030917449
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1. What is Optimal Control Theory?
2. The Maximum Principle: Continuous Time
3. The Maximum Principle: Mixed Inequality Constraints
4. The Maximum Principle: Pure State and Mixed Inequality Constraints
5. Applications to Finance
6. Applications to Production and Inventory
7. Applications to Marketing
8. The Maximum Principle: Discrete Time
9. Maintenance and Replacement
10. Applications to Natural Resources
11. Applications to Economics
12. Stochastic Optimal Control
13. Differential Games.

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