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...

In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic...

Linear optimal control problems with state inequality constraints is an important class of large systems. This paper shows that a generalized programming formulation of these problems does not result in a decomposition over time or a maximum principle as it does for problems without the state...

In this paper, we identify a new class of stochastic Iinear convex optimal control problems, whose solution can be obtained by solving appropriate equivalent deterministic optimal control problems. The term 'linear convex' is meant to imply that the dynamics is linear and the cost function is...

This paper derives a maximum principle for dynamic systems with continuous lags, i.e., systems governed by integrodifferential equations, using dynamic programming. As a result, the adjoint variables can be provided with useful economic interpretations

In this paper, we analyze the optimal skill mix in a model with two kinds of imperfectly substitutable labor, skilled and unskilled. The population is characterized by a distribution of innate abilities, and individuals are trained according to optimal rules or market rules (with imperfect...

This paper introduces recent developments in the analysis of inventory systems with partial observations. The states of these systems are typically conditional distributions, which evolve in infinite dimensional spaces over time. Our analysis involves introducing unnormalized probabilities to...

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...

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