Optimal Control Theory: Applications to Management Science and Economics

This 3rd edition of the book provides an introduction to optimal control theory and its diverse applications in management science and economics. It emphasizes modeling realistic situations and uses dynamic programming and Kuhn-Tucker theory to discuss the maximum principle in continuous and discrete time. The book covers various functional areas of management and economics, including finance, production, marketing, growth, and natural resources. It includes exercises and answers to deepen the understanding of the material, as well as appendices with supplementary material on differential equations, the calculus of variations, and special topics. The book is valuable for graduate courses, as well as for financial and industrial engineers, economists, and operational researchers interested in dynamic optimization.

Format: Hardback
Length: 565 pages
Publication date: 17 December 2018
Publisher: Springer International Publishing AG

This fully revised 3rd edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It brings to students the concept of the maximum principle in continuous, as well as 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 economics.

The book exploits optimal control theory to the functional areas of management 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.

Weight: 1042g
Dimension: 163 x 242 x 39 (mm)
ISBN-13: 9783319982366
Edition number: 3rd ed. 2019