Appendix A

Solutions of Linear
Differential Equations

A.l Linear Differential Equations with

Constant Coefficients
Linear diflFerential equations with constant coefficients are usually writ-
ten as
2/("> + ai2/("-i) + ... + a„_i2/(i) + anV = g, (A.l)
where a^, fc = 1,..., n, are numbers, y^^^ = ^ , and g = g{t) is a known
function of t. We shall denote hy D = ^ the derivative operator^ so that
the differential equation now becomes

p{D)y = (D^ + a i D ^ - i + ... + a^_iD + an)y = g. (A.2)

If g(t) = 0, the equation is said to be homogeneous. If g{t) ^ 0, then the

homogeneous or reduced equation is obtained from (A.2) by replacing g
byO.
If y and y* are two different solutions of (A.2), then it is easy to
show that y — y* solves the reduced equation of (A.2). Hence, if y is any
solution to (A.2), it can be written as

y = y*+y\ (A.3)
where y* is any other particular solution to (A.2) and y^ is a suitable
solution to the homogeneous equation. Therefore, solving (A.2) involves
(a) finding all the solutions to the homogeneous equation, caUed the gen-
eral solution, and (b) finding a particular solution to the given equation.
364 A. Solutions of Linear Differential Equations

The rest of these notes indicate how to solve these two problems.
Given (A.l) the auxiliary equation is
p{m) = mP + aim^'^ + ... + an-im + an = 0, (A.4)
In other words, p{m) is obtained from p{D) by replacing D by m. The
auxiliary equation is an ordinary polynomial of nth degree and has n real
or complex roots, counting multiple roots according to their multiplicity.
We will see that, given these roots, we can write the general solution
forms of homogeneous Unear differential equations.

A.2 Homogeneous Equations of Order One

Here the equation is
(D - a)y = y'-ay = 0,
which has y = Ce^^ as its general solution form.

A.3 Homogeneous Equations of Order Two

Here the differential equation can be factored (using the quadratic for-
mula) as
(D-mi)(Z)-m2)2/-0,
where m\ and m^ can be real or complex. Examples are given in Table
A.l and the solution forms are given in Table A.2.

Differential Equation General Solution Form

1. y"-Ay' + Ay = Q y{t) = e2*(Ci + Cit)

2. y" - % ' + 3y = 0 y{t)

= e2*(Di sinh t) + D2 sinh t)

3. y" - 4y' + 5y = 0 y{t)

= e^\Disva. t + Di cos t)

Table A.l: Examples of Homogeneous Equations of Order Two

A.4. Homogeneous Equations of Order n 365

Root General Solution Form

^ 1 7^ ^2? real y{t) = C i e ^ i * + C2e^2t

= e^*(Cie^^ + C2e-^^)

or

m i = a + 6, 1712 = a — b y(t) = e"*(Ci sinh 6t + C2 cosh bt)

mi = 7722 = ^^ y{t) = iCi+C2t)e^'

^ 1 7^ ^ 2 J complex y(t) = C i e ^ i * + C2e^2t

- e"^(Cie^^* + C2e-'^^)

or

m i = a + bi^ m2 = a — bi y(^) 3.: e"^(Di sin 6t + D2 cos bt)

or

y(^) = e^'^lEi sm{bt + ^2)]

or

y{t) = e''^[Ficos{bt + F2)] |

Table A.2: General Solution Forms for Second-Order Linear

Homogeneous Equations, Constant Coefficients

A.4 Homogeneous Equations of Order n

When (A.2) is of order n, the auxiliary equation p(m) = 0 has n roots,

when multiple roots are coimted according to their multiplicity. Also,
complex roots occur in conjugate pairs. The general solutions of the
homogeneous equations is the sum of the solutions associated with each
multiple root. They can be foimd in Table A.4 for each root and should
be added together to form the general solution. First, we give some
examples in Table A.3.
366 A. Solutions of Linear Differential Equations

Differential Equation General Solution Form

1. D 2 ( 2 ) 2 _ 4 D + 4 ) 2 / - 0 y(t) = Ci + C2i + e2*(C3 + C^t)

2. ( D - 3 ) 2 ( D + 5 ) 3 ( D 2 - 4 D + 5)2y=0 2/(t)-e3*(Ci+C2t)

+ e - 5 t ( C 3 + C4t + C5t2)

+e2*[(C6+C7)sin t

^ ( C s + CgOoos t]

3. ( D 2 -2D-\- 2 ) 3 ( D 2 - 2D -- 3)^2/ = 0 2/(i) = e*[(Ci -f C2* + C3t2) sin t

+(C4-f-C5t-f C6t2)cos i]

+(C7 + Cst)e^^ + (Cg + Ciot)e-^

Table A.3: Examples of Homogeneous Equations of Order n

Root Multiplicity General Solution Form

r,=l yj{t) = Ce'^J^

rrij, real rj > 1 yj{t) = (Ci 4- C2* + . . . + Crjf-J -i)e"^i*

Complex Conjugate r,=l e'^J*(Ci sin 6jt + C2 cos 6jt)

aj lb bj2 0>1 e^i*[Ci + C2t + . . . + Cr^-Ti - ^ ) s i n 6jt]

+(Cr^- + l + Cr^+2t + . . . + C2r,-r:'' - ^ ) COS bjt]

Table A.4: General Solution Forms for Multiple Roots of Auxiliary

Equation

A.5 Particular Solutions of Linear D . E . with

Constant Coefficients
The particular solution to the inhomogeneous equation (A.2) can usually
be found by guessing the form of the answer and then verifying the
guess by substitution. Table A.5 shows the correct forms for guessing
for various kinds of forcing fimctions g(t). Note that the form of the
guess depends on whether certain nimibers are roots of the auxiliary
equation. Table A.6 gives examples of differential equations along with
their particular integrals.
A,5. Particular Solutions of Linear D,E, — Constant Coefficients 367

Forcing Function, g{t) K Particular Integral, y{t)

(i)c 0 A

(2) h{t) 0 X

(3) csin qt or ccos qt 9 A sin qt — B cos qt

(4) ce"* 9 Ae<i*

(5) ce^* sin qt or ce^* cos qt p + iq AeP* sin ^t - Be^* cos ^i

(6) /i(i)e«* Q Xe«*

(7) /i(t) sin ^t or /i(f) cos qt iq X sin gi + y cos qfi

(8) /i(t)eP*sin gt or /i(i)eP*cos gt p + iq XeP*sin ^i + FeP^cos qt

Notation.

(a) In the forcing function column, p, q, and c are given constants and h{t) is a
given polynomial of degree s.
(b) In the p>articular integral column, A and B are coefficients to be determined
and

X = ^ 0 + Alt + . . . + Ast\ Y = Bo-\-Bit+ ... + Bst^

are s degree polynomials whose coefficients are to be determined.

Rules.

(a) If the number in the K column is not a root of the auxiliary equation p(m) = 0,
then the proper guess for the particular integral is as shown.
(b) If the number in the K colimin is a root of the auxiliary equation of degree r,
then multiply the guess in the last column by t^.

Table A.5: Particular Solution Forms for Various Forcing Functions

If the forcing function g{t) is the sum of several functions, 9^=91 +

g2 + *"+9ky each having one of the forms in the table, then solve for each
Qi separately and add the results together to get the complete solution.
In the next table, we wiU apply the formulas and the rules in Table
A.6 to obtain particular integrals in specific examples.
368 A. Solutions of Linear Differential Equations

Differential Equation Particular Integral

1.2/'"-32/" = 5 At^
2. y'" - 3y" = l + 3t + 5t^ t^Ao + Ait + A2t'^)
3. 2 / " - V + 42/ = 3 - i 2 Ao + Ait + A2t^

4. y" -4y' + 4y = 2sm t Asm t + Bcos t

5. 2 / " - 4 3 / ' + 42/= 5sin 2t Asm 2t + Bcos 2t

6. 2/" - 42/' + 4y = lOe^* Ae'^

7. 2/" - 4y' + 42/ = lOe^* i2(Ae2«)

8. 2/" - 42/' + 52/ = e^* cos t t{Ae^^ sin t + Be^* cos t)

9. 2/"-42/' + 52/ = t^sin f X^r_o(^r^'^ sin i + B^V cos i)

10. y" - 42/' + 5y = i^e^* cos t * Er=o(^r*''e2* sin « + B^fe^* cos

*)J
Table A.6: Particular Integrals in Specific Examples

A.6 Integrating Factor

Consider the first-order linear equation

2/' + ay = / ( i ) . (A.5)

If we multiply both sides of the equation by the integrating factor e"*,

we get
d
^(ye«')=j/'e"*+aye«* = e"V(i). (A.6)

Integrating from 0 to t we have

y{t) = y{0)e--' + T e'^(--^)/(T)rfr, (A.7)

Jo
which is the complete solution (homogeneous solution plus particular
solution) to the equation.
A, 7. Reduction of Higher-Order to First-Order Linear Equations 369

A.7 Reduction of Higher-Order Linear

Equations t o Systems of First-Order
Linear Equations
Another way of solving equation (A.l) is to convert it into a system of
first-order linear equations. We use the transformations

zi = y, Z2 = y^^\...,zn = y^'' ^\ (A.8)

so that (A.l) can be written as

0 1 0 .. 0 zi 0

4 0 0 1 .. 0 ^2 0

+
0 0 0 .. 1 Zn-1 0

Z^ —dn -an- -1 -CLn- - 2 • ai Zn 9J

(A.9)
In vector form this equation reads

z' = Az + b (A.10)

with the obvious definitions obtained by comparing (A.9) and (A. 10).
We will present two ways of solving the first-order system (A. 10).
The first method involves the matrix exponential function e*"* defined
by the power series
/2 42
E A;!
(A.11)

It can be shown that this series converges (component by component)

for all values of t. Also it is differentiable (component by component)
for all values of t and satisfies

^(e*^) = Ae'^ = {e'^)A. (A.12)

By analogy with Section A.6, we try e^* as the integrating factor for
(A. 10) to obtain
370 A. Solutions of Linear Differential Equations

(Note that the order of matrix multiphcation here is important.) Using

the product rule for matrix multiphcation of fimctions, which can be
shown to be vahd, the above equation becomes

dV '
Integrating from 0 to i gives

TA
b{r)dT.
Jo
Evaluating and solving, we have

.-TA
z{t) = e'^z{0) + e'^ r b{T)dr, (A.13)
Jo
The analogy between this equation and (A.6) is clear.
Although (A.13) represents a formal expression for the solution of
(A. 10), it does not provide a computationally convenient way of getting
explicit solutions. In order to demonstrate such a method we assimie
that the matrix A is diagonalizable, i.e., that there exists a nonsingtilar
square matrix P such that

P-^AP = A. (A.14)

Here A is the diagonal matrix

Ai 0 ••• 0

0 A2 ••• 0
A = (A.15)

0 0 An

where the diagonal elements, A i , . . . , A^i, are eigenvalues of A, The ith

colunm of P is the column eigenvector associated with the eigenvalue A^
(to see this multiply both sides of (A.14) by P on the left). By looking
at (A.ll) it is easy to see that
p-l^tAp^^tA^ (A.16)

Suppose we make the following definitions:

z = Pw, z(0) = Pw{Q), z' = Pw\ (A.17)
A. 7. Reduction of Higher-Order to First-Order Linear Equations 371

These in turn imply

w = P-^Z, w{0) = P-h{0), w' = p-^z\ (A.18)

Substituting (A. 17) into (A. 10) gives

Pw' = APw + b,
vJ = p-^APw + p-^b,

which by using (A. 14) gives

w' = Aw + p-^b. (A.19)

Since A is a diagonal matrix, it is easy to solve the homogeneous part of

(A.19), which is
w' = Aw. (A.20)

The solution is

Wi = Wi{0)e~^^^ for i = 1,..., n.

We solve (A.19) completely by multiplying through by the integrating

factor e~*^:

^(e-'^w) = e'^w' - e-^^Aw = e'^^p-^b.

at

Integrating this equation from 0 to ^ gives

w{t) = e^^w(0) + e^^ f e-^^p-^b{T)dT. (A.21)

Jo
Using the substitutions (A.18) yields

z{t) = {Pe^^p-^)z{0) + Pe^^ f e-^^p-^b{r)dT, (A.22)

Jo

which is the formal solution to (A. 10). Since well-known algorithms are
available for finding eigenvalues and eigenvectors of a matrix, the solution
to (A.22) can be found in a straightforward manner.
372 A. Solutions of Linear Differential Equations

A.8 Solution of Linear Two-Point Boundary

Value Problems
In linear-quadratic control problems with linear salvage values (e.g., the
production-inventory problem in Section 6.1) we require the solution of
linear two-point boundary value problems of the form

X 11 An X hi
+ (A.23)
21 A22 A 62 J
with boundary conditions

a;(0) = XQ and A(T) = Ay. (A.24)

The solution of this system will be of the form (A.22), which can be
restated as

x{t) Quit) Quit) rr(O) Rx{t)

+ (A.25)
m Q2l{t) Q22{t)
. ^(°^ . Mt)
where the A(0) is a vector of unknowns. They can be determined by
setting
AT = Q2i{T)x{0) + Q22(T)A(0) + R^iT), (A.26)
which is a system of linear equations for the variables A(0).

A.9 Homogeneous Partial Differential

Equations
A homogeneous partial differential equation is an equation containing
one or more partial derivatives of an unknown function with respect to
its independent variables. If the highest partial derivative appearing ex-
plicitly in the equation has order n, then the partial differential equation
is said to be of order n.
As we saw in the previous sections, the general solutions of ordinary
differential equations involve expressions containing arbitrary constants.
Similarly, the solutions of partial differential equations are expressions
containing arbitrary (differentiable) functions. Conversely, when arbi-
trary fimctions can be eliminated algebraically from a given expression,
A.9, Homogeneous Partial Differential Equations 373

after suitable partial derivatives have been taken, then the result is a
partial differentiable equation.

Example A , l Eliminate the arbitrary function / from the expression

u = f{ax — by), where a and b are non-zero constants.

Solution. Taking partial derivatives, we have

Ux = af and Uy = —bf
so that
fru^ + auy = abf - abf = 0. (A.27)
Here u = f{ax — by) is a, solution for the equation bux + aUy = 0.
To show that any solution u = g{x, y) can be written in this form,
we set s = ax — by, and define
\s + by
G{s,y) = g .y = 9{^^y)'

Then, gx = Gs% = aGs and gy = G , ^ + Gy = -bGs + Gy.

Since we assume g solves the equation bux + aUy = 0, we have
Q = bgx- agy = abGg - abGs + aGy = 0, (A.28)
but this implies Gy = 0 so that G is a function oi s = ax — by only,
and hence g{x, y) = G{s) = G{ax — by) is of the required form. We
conclude that u = f(ax — by) is a general solution form for bux +auy = 0.

Example A.2 Eliminate the arbitrary fimctions / i and /2 from the

expression u = fi{x)f2{y).

Solution. Taking partial derivatives, we have

"^x = / i / 2 , Uy = /1/2, and Uxy = /I/2

so that
uuxy - UxUy = /i/2/{/2 - /i/2/1/2 = 0-
As in Example A.l we conclude that u = h{^)f2{y) is the general solu-
tion form of the equation uUxy — UxUy = 0.
The subject of partial differential equations is too vast to even sur-
vey here. However, Table A.7 gives general solution forms for all the
homogeneous partial differential equations we will consider in this book,
as well as others.
374 A. Solutions of Linear Differential Equations

Partial Differential General Solution Form

Ekjuation

(1) bux + auy = 0 u = f(ax — by)

(2) XUx + yUy = 0 , X y/^0 u = f{y/x)

(3) xux — yUy == 0 u = fi^y)

(4) Ux -\-Uy =^ au u = h{x- y)e^ + f2{x - y)e''y

(5) Uz-\-Uy = au^, k ^ 1 u^[{k-\){h{x-y)-ax)Y/^^-'^

^[k-l)h{x-y)-ay)Y^^^-')

(6) ^xx ^ yy — ^ u=:fi{y + ax) + hiy - ax)

(7) Uxx + CL^Uyy = 0 u = fi{y + iax) -\- f2(y- iax), i = y/^

(8) Uxy =0 u = fi(x) - f2(y)

(9) UUxy —UxUy =0 u= fi(x)f2(y)

(10) UUxy +UxUy=0 u= Mx)/f2{y)

(11) bcux + acuy + abuz = 0 u =: fi{ax - by) ^ f2(by - cz) + fsicz - ax)

(12) xUx + yuy 4- zuz = 0 u= fi(x/y)-\-f2{y/z)

(13) xUx — yUy -1- xuz = 0 u= fi(xy)-\-f2{yz)

(15) U^Uxyz — UxUyUz = 0 u= Mx)f2(y)f3(z)

(16) ^txy^ = 0 u=-fi{x)-\-f2iy)-\-f3{z)

(17) Uxx — 0^{Uyy 4 - Uzz) = 0 u = fi(y + ax) + f2{y - ax)-\- h{z + ax)

+f4{z-ax)

(18) Ux -\- Uy + Uz = au u = h{x- y)e^ + h{y- ^)e"^ + h{z - ^)e"' [

N o t e . The function fi are arbitrary differentiable functions of a single variable;

a, 6, c , . . . stand for arbitrary (non-zero) constants.

Table A.7: General Solution Forms for Some Homogeneous Partial

Differential Equations

A. 10 Inhomogeneous Partial Differential

Equations
As in the ordinary case, an inhomogeneous partial differential equation
is obtained from a homogeneous one by adding one or more forcing
A.iJ. Solutions of Finite Difference Equations 375

functions. The general case of this problem is too difficult to treat here.
We consider only the case in which the forcing functions are separable,
i.e., can be written as a sum of functions each involving only one of the
independent variables. In solving such problems we can make use of the
solutions to ordinary differential equations considered earlier.

Example A.3 Solve the partial differential equation

Ux + Uy = 3x + e^.

Solution. We know from the previous section that the general solution
to the homogeneous equation is of the form f{x—y). To get the particular
solutions we solve separately the ordinary equations

Ux = Sx^ and Uy = e^^

obtaining solutions x^ and e^. Therefore, the general solution to the

original equation is
u = f{x-y)+x^ + e^.
Generally speaking, the above philosophy of finding particular solu-
tions to separable partial differential equations (when it works) follows
the same method of "dividing and conquering." Other methods involve
the use of series. We will not go further here for lack of space.

A. 11 Solutions of Finite Difference Equations

In this book we will have uses for finite difference equations only in
Chapters 8 and 9. For that reason we will give only a brief introduction
to solution techniques for them. Readers who wish more details can
consult one of several texts on difference equations; see, e.g., Goldberg
(1986) or Spiegel (1971).
If f{k) is a real function of time, then the difference operator applied
to / is defined as

A/(fc) = /(fc + l ) - / ( f c ) . (A.29)

The factorial power of k is defined as

A;(") = k{k - l)ik -2)...{k-{n- 1)). (A.30)

It is easy to show that
Aifc("> = nfc("-i). (A.31)
376 A. Solutions of Linear Differential Equations

Because this formula is similar to the corresponding formula for the

derivative d{k'^)/dk^ the factorial powers of k play an analogous role
for finite differences that the ordinary powers of k play for differential
calculus.
K /(fc) is a real function of time, then the anti-difference operator
A~-^ applied to / is defined as another fimction g — A~^f{k) with the
property that

A^ = f(k). (A.32)
One can easily show that

A-ifcW - ( l / ( n + l))fc(^+i) + c, (A.33)

where c is an arbitrary constant. Equation (A.33) corresponds to the
integration formula for powers of k in calculus.
Note that formulas (A.31) and (A.33) are similar to, respectively,
differentiation and integration of the power function k"^ in calculus. By
analogy with calculus, therefore, we can solve difference equations in-
volving polynomials in ordinary powers of k by first rewriting them as
polynomials involving factorial powers of k so that (A.31) and (A.33)
can be used. We show next how to do this.

A . 11.1 C h a n g i n g P o l y n o m i a l s in P o w e r s of k into Facto-

rial P o w e r s of k
We first give an abbreviated list of formulas that show how to change
powers of k into factorial powers of k:
fcO =fc(o)= 1 (by definition),
k'=k('\

fc4 = fc(i)+7/c(2)+6fc(3)+fcW,
k^ = fc(i) + 15fc(2) + 25fc(^) + lOfcW + fc(^).

The coefficients of the factorial powers on the right-hand sides of these

equations are called Stirling numbers of the second kind, after the
person who first derived them. This list can be extended by using a
A,ll. Solutions of Finite Difference Equations 377

more complete table of these nimibers, which can be found in books on

difference equations cited earlier.

Example A.4 Express A;^ — 3fc + 4 in terms of factorial powers.

Solution. Using the equations above we have

k^ = fed) + 7fc(2) + 6fc(3) + fcW, -3k = -3fc(i), 4 = 4,

SO that

Example A.5 Solve the following difference equation in Example 8.7:

AA^ = -k + 6,X^ = 0.

Solution. We first change the right-hand side into factorial powers so

that it becomes
AA^ = -fc(^) + 5.
Applying (A.33), we obtain

A^ = -(l/2)fc(2) + 5fcW + c,

where c is a constant. Applying the condition A^ = 0, we find that

c= —15, so that the solution is

A^ = -(l/2)fc(2) + 5fc(^) - 15. (A.34)

However, we would like the answer to be in ordinary powers of fc.
The way to do that is discussed in the next section.

A . 11.2 C h a n g i n g Factorial P o w e r s of k i n t o Ordinary

P o w e r s of k
In order to change factorial powers of k into ordinary powers of fc, we
make use of the following formulas:
fc(i) = k,
ki'^) = ^k + k\
fc(3) = 2k- 3A;2 + k^,
k^^) = -6k + llfc2 _ 6^3 ^ ^4^
378 A. Solutions of Linear Difkrential Equations

fc(5) = 24k - 50A;2 + 35k^ - lOJt^ + k^.

The coefficients of the factorial powers on the right-hand sides of these

equations are called Stirling numbers of the first kind. This list can also
be extended by using a more complete table of these nimibers, which
can be found in books on difference equations.

Solution of Example A.5 Continued. By substituting the first two

of the above formulas into (A.34), we see that the desired answer is

A'^ = -(1/2)A;2 + (n/2)k - 15, (A.35)

which is the solution needed for Example 8.7.

EXERCISES FOR A P P E N D I X A

3 2 5 0 1 1
A . l If ^ = show that A andF =
2 3 0 2 1 -1

Use (A.22) to solve (A. 10) for this data, given that ^(O) =

3 3 6 0 1 3
A.2 If A , show that A = andP =
2 4 0 1 1 -2

0
Use (A.22) to solve (A. 10) for this data, given that z{0) =
5

A . 3 After you have read Section 6.1, re-solve the production-inventory

example stated in equations (6.1) and (6.2), (ignoring the control
constraint ( P > 0) by the method of Section A.8. The linear
two-point boundary value problem is stated in equations (6.6) and
(6.7).
Appendix B

Calculus of Variations and

Optimal Control Theory

Here we introduce the subject of the calculus oi variations by analogy

with the classical topic of maximization and miniiir:zation in calculus;
see Gelfand and Fomin (1963), Young (1969), and Leitmann (1981) for
rigorous treatments of the subject. The problem of the calculus of varia-
tions is that of determining a function that maximizes a given functional,
the objective fimction. An analogous problem in calculus is that of de-
termining a point at which a specific function, the objective function, is
maximum. This, of course, is done by taking the first derivative of the
function and equating it to zero. This is what is called the first-order
condition for a maximum. A similar procedure will be employed to de-
rive the first-order condition for the variational problem. The analogy
with classical optimization extends also to the second-order maximiza.-
tion condition of calculus. Finally, we will show the relationship between
the maximum principle of optimal control theory and the necessary con-
ditions of the calculus of variations. It is noted that this relationship is
similar to the one between the Kuhn-Tucker conditions in mathematical
programming and the first-order conditions in classical optimization.
We start with the "simplest" variational problem in the next section.

B.l The Simplest Variational Problem

Assume a function x : C-^[0^t] —> E^, where C^[O^T] is a class of func-
tions defined over the interval [0,T] with continuous first derivatives.
(For simplicity in exposition, assimie x to be a scalar fimction. The
380 B. Calculus of Variations and Optimal Control Theory

extension to a vector function is straightforward.) Assume further that

a function in this class is termed admissible if it satisfies the terminal
conditions
x{0) = xo and x{T) = XT- (B.l)
We are thus dealing with a fixed-end-point problem. Examples of admis-
sible functions for the problem are shown in Figure B.l; see Section 6 and
Chapters 2 and 3 of Gelfand and Fomin (1963) for problems other than
the simplest problem, i.e., the problems with other kinds of conditions
for the end points.

0 T

Figure B.l: Examples of Admissible Functions for the Problem

The problem under consideration is to obtain the admissible function

X* for which the fimctional
fT
J{x) = / g{x^x^t)dt (B.2)
Jo
has a relative maximum. We will assume that all first and second partial
derivatives of the function g : E^ x E^ x E^ —^ E^ are continuous.

B.2 The Euler Equation

The necessary first-order conditions in classical optimization were ob-
tained by considering small changes about the solution point. For the
B.2, The Euler Equation 381

variational problem, we consider small variations about the solution func-

tion. Let x{t) be the solution and let
y{t)=x{t) + sri{t),
where T]{t) : C^[0,T] —» E^ is an arbitrary continuously differentiable
function satisfying
r){0) = r,{T) = 0, (B.3)
and £ > 0 is a small number. A sketch of these functions is shown in
Figure B.2.

Figure B.2: Variation about the Solution Function

The value of the objective functional associated with y{t) can be

considered a fimction of s, i.e.,
fT
V{e) = J{y) = g{x + erj, x + ef],, t)dt
Jo
However, x(t) is a solution and therefore V{e) must have a maximum at
£ = 0. This means
A dV\
-0,
de e=Q
where 8J is known as the variation 8J in J. Differentiating V{e) with
respect to e and setting e — Q yields

8J = = / {9xV + 9xf])dt = 0,
de =0 ^0
382 B. Calculus of Variations and Optimal Control Theory

which after integrating the second term by parts provides

«5^ = - ^ 1 = j ^ 9xVdt + {9iv)\o - I Jt^9i)vdt = 0. (B.4)

Because of the end conditions on 77, the expression simplifies to

= [9x- •:^9x]vdt = 0.
de zzo Jo dt
We now use the fundamental lemma of the calculus of variations
which states that if /i is a continuous fimction and /Q h(t)rj{t)dt = 0 for
every continuous function r]{t)^ then h{t) — 0 for all t G [0, T]. The reason
that this lemma holds, without going into details of a rigorous proof
which is available in Gelfand and Fomin (1963), is as follows. Suppose
that h(t) ^ 0 for some t G [0,T]. Since h{t) is continuous, there is,
therefore, an interval (^1, ^2) C [0, T] over which h is nonzero and has the
same sign. Now selecting r/(t) such

>0, te{ti,t2)
r]{t) is <
0, otherwise,

it is possible to make the integral /Q h(t)r){t)dt 7^ 0. Thus, by contrar-

diction, h{t) must be identically zero over the entire interval [0,T].
By using the fimdamental lemma, we have the necessary condition

9x - -Tjgx = 0 (B.5)

known as the Euler equation, which must be satisfied by a maximal

solution X*,
We note that the Euler equation is a second-order ordinary differen-
tial equation. This can be seen by taking the total time derivative of QX
and collecting terms:

^9xx + i^9xx + {9tx - 9x) = 0.

The boimdary conditions for this equation are obviously the end-point
conditions x{0) = XQ and x{T) = x^-
B.3. The Shortest Distance Between Two Points on the Plane 383

Special Case (i) When g does not depend explicitly on x.

In this case, the Enler equation (B.5) reduces to

which is nothing but the first-order condition of classical optimization.

In this case, the dynamic problem is a succession of static classical
optimization problems.

Special Case (ii) When g does not depend explicitly on x.

The Euler equation reduces to

j^9^ = 0, (B.6)

which we can integrate as

gx = constant. (B.7)

Special Case (iii) When g does not depend explicitly on t,

Finally, we have the important special case in which g is explicitly

independent of t. In this case, we write the Euler equation (B.5) as

j^{9-i9x)-9t = 0. (B.8)

But gt = 0 and therefore we can solve the above equation as

g-xgx = C, (B.9)

where C is the constant of the integration.

B.3 The Shortest Distance Between Two Points

on the Plane
The problem is to show that the straight line passing through two points
on a plane is the shortest distance between the two points. The problem
384 B. Calculus of Variations and Optimal Control Theory

can be stated as follows:

imn
Jo
subject to

x(0) = xo and x{T) = XT-

Here t refers to distance rather than time. Since g = — v T + ^ does not

depend explicitly on x^ we are in the second special case and the first
integral (B.7) of the Euler equation is

This implies that i is a constant, which results in the solution

x{t) = Cit + C2,

where Ci and C2 are constants. These can be evaluated by imposing

boimdary conditions which give Ci — {XT — xo)/T and C2 = XQ. Thus,

XT-XQ
x{t) = t + Xo,
T
which is the straight line passing through XQ and XT-

B.4 The Brachistochrone Problem

The problem arises from the search for the shape of a wire along which
a bead will slide in the least time from a given point to another, imder
the influence of gravity; see Figure 1.1.
The Brachistochrone problem has a long history. It was first studied
(incorrectly) by Galileo in 1630. The problem was correctly posed by
Johann Bernoulli in 1696 and later solved by Johann Bernoulli, Jacob
Bernoulli, Newton, and L'Hospital. Note that Euler deduced the Euler's
equation in 1744, and we will solve the Brachistochrone problem using
Euler's equation. But first we must formulate the problem.
Assimie the bead slides with no friction. Let m denote the mass of the
bead, s denote the arc length, t denote the horizontal axis, x denote the
vertical axis (measured vertically down), and r denote the time. Assimie
^0 = 0, rr(io) = 0, T - l , x{T) = l.
B.4. The Brachistochrone Problem 385

We wish to minimize
^^ ds
Jo Jo V
where v represents velocity, and ST is the final displacement measured
on the curve. We can write

ds = \ / l + x'^dt

and, from elementary physics, it is known that if v{to = 0) — 0 and a

denotes the gravitational acceleration constant, then

v = V2^ax,

Therefore, the variational problem can be stated as

, 1 f'/*! h 1+x^
min^TT- / \l—- dt
\2aJo V X

where x = dx/dt (note that t does not denote time), and x(0) = 0 and
x{l) = 1. Since a is a constant, we can rewrite the problem as

mm J{x) = / g(x^x,t)dt= / \ dt> .

Since g does not depend explicitly on f, the problem belongs to the third
special case. Using the first integral (B.9) of the Euler equation for this
case, we have
1/2
i;2[x(l+i2)]-i/2 1+x^ = Ci (a constant).
X

We can reduce this to

dx
dt y xCf
To solve this equation, we separate the variables as

•^xdx
dt
^ l ""x
386 B. Calculus of Variations and Optimal Control Theory

and substitute

X = (sin^ e)/Cl = (1 - cos 26)/Cl (B.IO)

The resulting expression can be integrated to yield

t=[e- (1/2) sm2e]/Cf + C2. (B.ll)

The condition ^ = 0 at ^ = 0 implies C2 = 0 providing Cf > 0. The

value of Cl can be obtained in terms of the value of 6 at t = 1; let this
be 9i. Then, since a; = 1 at ^ = 1, we have Ci = sin 6, where Oi satisfies

26>i - - I = sin20i-cos26>i.

This equation must be solved nimierically. An iterative numerical pro-

cedure yields 0i = 1.206 and therefore Cf = 0.873. Defining 0 = 26, we
can write (B.IO) and (B.ll) as

X = 0.573(1-cos 20),
t = 0.573(0-sin0),

which are equations of a cycloid in the parametric form. The shape of

the curve is shown in Figure 1.1 in Chapter 1.

B.5 The Weierstrass-Erdmann Corner

Conditions
So far we have only considered functionals defined for smooth curves.
This is, however, a restricted class of curves which qualify as solutions,
since it is easy to give examples of variational problems which have no
solution in this class. Consider, for example, the objective functional

min h{x) = I x'^il - xfdt\ , x ( - l ) = 0, x{l) = 1.

The greatest lower bound for J(x) for smooth x = x{t) satisfying the
boimdary conditions is obviously zero. Yet there is no x € C-^[—1,1]
with x(—l) = 0 and x{l) = 1, which achieves this value of J(x). In fact,
the minimum is achieved for the curve

0, - 1 < < < 0,

x(t)
t, 0<t<l,
B.5. The Weierstrass-Erdmann Corner Conditions 387

which has a comer (i.e., a discontinuous first derivative) at t = 0, Such

a piecewise smooth extremal with corners is called a broken extremal
We now enlarge the class of admissible functions by relaxing the
requirement that they be smooth everywhere. The larger class is the class
of piecewise continuous functions which are continuously differentiable
almost everywhere in [0,r], i.e., except at some points in [0, T].
Let x{t) be an extremal with a corner at r G [0, T]. Let us decompose
J{x) as
rT PT PT
J{x) = / g{x,x^t)dt= / g{x,x,t)dt+ / g{x^x,t)dt
Jo Jo JT
= Ji{x)+J2{x),
It is clear that on each of the intervals [0, r) and {r^T], the Euler equation
must hold.
To compute variations SJi and SJ2, we must recognize that the two
'pieces' oi x are not fixed-end-point problems. We must require that the
two pieces of x join continuously at ^ = r; the point t = T can, however,
move freely as shown in Figure B.3.

Figure B.3: A Broken Extremal with Corner at r

This will require a slightly modified version of formula (B.4) for writ-
ing out the variations; see pp. 55-56 in Gelfand and Fomin (1963). Equat-
ing the sum of variations
SJ = SJi +SJ2 = 0
388 B. Calculus of Variations and Optimal Control Theory

for x{t) to be an extremal and using the fact that x{t) must be continuous
at t = r imphes
g^l^- = g^l^^ , (B.12)
[9 - igxlr- = [9- i9x]T+' (B.13)
These conditions are called Weierstrass-Erdmann corner conditions,
which must hold at the point r where the extremal has a corner.
In each of the interval [0, r ) and (r, t], the extremal x must satisfy the
Euler equation (B.5). Solving these two equations will provide us with
four constants of integration since the Euler equations are second-order
differential equations. These constants can be foiind from the end-point
conditions (B.l) and Weierstrass-Erdmann conditions (B.12) and (B.13).

B.6 Legendre's Conditions: The Second

Variation
The Euler equation is a necessary conditions analogous to the first-order
condition for a maximum (or minimimi) in the classical optimization
problems of calculus. The condition analogous to the second-order nec-
essary condition for a maximum is the Legendre condition

9xx < 0. (B.14)

To obtain this condition, we use the second-order condition of classical

optimization on function V(e) to be a maximum at e = 0, i.e.,

d^V{e) PT
/ {9xxrj^ + '^gxxm + 9xxf]^)dt < 0. (B.15)
de'^ JO
e=0

Integrating the middle term by parts and using (B.3), we can transform
(B.15) into a more convenient form

/ {Qri^ + Pfi^)dt<Q, (B.16)

Jo
where
Q = Q{t) = 9xx --^9xx and P = P{t) =^ g^j^.

While it is possible to rigorously obtain (B.14) from (B.16), we will

only provide a qualitative argument for this. If we consider the quadratic
functional (B.16) for functions r]{t) satisfying 77(0) = 0, then r]{t) will be
B.7, Necessary Condition for a Strong Maximum 389

small in [0, T] if f]{t) is small in [0, T], The converse is not true, however,
since it is easy to construct r]{t) which is small but has a large derivative
7]{t) in [0,r]. Thus, Pfj^ plays the dominant role in (B.16); i.e., Pif
can be much larger than Qrf but it cannot be much smaller (provided
P 7^ 0). Therefore, it might be expected that the sign of the fimctional
in (B.6) is determined by the sign of the coefficient P(t), i.e., (B.16)
implies (B.14). For a rigorous proof, see Gelfand and Fomin (1963).
We note that the strengthened Legendre condition (i.e., with a strict
inequahty in (B.14)), the Euler equation, and one other condition called
strengthened Jacobi condition are sufficient for a maximum. The reader
can consult Chapter 5 of Gelfand and Fomin (1963) for details.

B.7 Necessary Condition for a Strong

Maximum
So far we have discussed necessary conditions for a weak maximum. By
weak maximum we mean that the candidate extremals are smooth or
piecewise smooth functions. The concept of a strong m>axim.um, on the
other hand requires that the candidate extremal need only be continuous
functions. Without going into details, which are available in Gelfand and
Fomin (1963), we state a necessary condition for a strong maximum. This
is called the Weierstrass necessary condition. The condition is analogous
to the one in the static case that the objective function be concave. It
states that if the fimctional (B.2) has a strong maximum for the extremal
7 satisfying (B.l), then
E{x,x,t,v) <0 (B.17)
along 7 for every finite v, where E is the Weierstrass Excess Function
defined as
E{x^ i , t, v) = g{x^ v^ t) — g{x^ i , t) — gxi^i ^, t){'^ — x), (B.18)
Note that this condition is always met if g{x^x^t) is concave in x.
The proof of (B.17) is by contradiction. Suppose there exists a r G
[0, T] and a vector q such that
E{T,x{T),x{T),q) >0,
where x = x(t) is the equation of the extremal 7. It is then possible to
suitably modify 7 to /? which is close to 7 in C^[0,T] such that

^J — I g{x^x^t)dt— / g{x^x^t)dt > 0,

JB J-i
390 B. Calculus of Variations and Optimal Control Theory

contradicting the hypothesis that J{x) has a strong maximum for 7.

B.8 Relation to the Optimal Control Theory

It is possible to derive the necessary conditions of the calculus of varia-
tions from the maximum principle. This is strongly reminiscent of the
relationship between the first-order conditions of classical optimization
and the Kuhn-Tucker conditions of mathematical progranmiing.
First, we note that the calculus of variations problem can be stated
as an optimal control problem as follows:

max J—j g{x,u^t)dt >

subject to

X = n, x(0) = xo, x(T) = XT^

The Hamiltonian is

H(x^ u^ A, t) = g(x^ u, t) + Xu (B.19)

with the adjoint variable A satisfying

A = —Hx = —Qx- (B.20)

Maximizing the Hamiltonian with respect to u yields

Hu = 9x + ^=> ^ = -Qx- (B.21)

Differentiating with respect to time, we have

d
A
dt 9x'
This equation with (B.20) implies

9x - ^9x = 0,

which is the Euler equation of the calculus of variations.

B.8, Relation to the Optimal Control Theory 391

The second-order condition for the maximization of the Hamiltonian,

i.e.,
Huu < 0 => pi;i < 0,
which is the Legendre condition.
Again, by the maximum principle, if u is an optimal control, then

H{x,t,X,t) >H{x,v,\t),

where v is any other control. By the definition of the Hamiltonian (B.19)

and equation (B.21), we have

g{x, i , t) - QxX > g(x, v, t) - g±v,

which by transposition of terms yields the Weierstrass necessary condi-

tion
E(x^ ir, i, v) = g{x^ v^ t) — g(x^ i , t) — gx{v — i ) < 0.
We have just proved the equivalence of the maximum principle and
the Weierstrass necessary condition in the case where Q is open. In cases
when O is closed and when the optimal control is on the boundary of f2,
the Weierstrass necessary condition is no longer valid, in general. The
maximum principle still applies, however.
Finally, according to the maximum principle, both A and H are con-
tinuous functions of time. However,

A == -gx and H = g - g±x,

which means that the right-hand sides must be continuous with respect to
time, i.e., even across corners. These are precisely Weierstrass-Erdmann
corner conditions.
Appendix C

An Alternative Derivation
of the Maximum Principle

Recall that in the derivation of the maximum principle in Chapter 2, we

assumed the twice differentiability of the return function V, Looking at
(2.32), we can observe that the smoothness assumptions on the return
function do not arise in the statement of the maximum principle. Also
since it is not an exogenously given fimction, there is no a priori reason to
assume the twice differentiabihty. In many important cases as a matter
of fact, V has no derivatives at individual points, e.g., at points on
switching manifolds.
In what foUows, we wiU give an alternate derivation. This proof fol-
lows the course pointed out by Pontryagin et al. (1962) but with certain
simplifications. It appears in Fel'dbaum (1965) and, in our opinion, it
is one of the simplest proofs for the maximiim principle which is not
related to dynamic programming and thus permits the elimination of
assumptions about the differentiability of the return fimction V(t, x),
We select the Mayer form of the problem (2.5) for deriving the max-
imum principle in this section. It will be convenient to reproduce (2.5)
here as (C.l):

max {J = cx(T)}
u{t)en{t)

subject to
(C.l)
X = f{x,U,t), x{0) =Xo,
394 C. An Alternative Derivation of the Maximum Principle

C.l Needle-Shaped Variation

Let u*{t) be an optimal control with corresponding state trajectory x*{t).

We sketch u*{t) in Figure C.l and x*{t) in Figure C.2 in a scalar case.
Note that the kink in x*{t) aX t = 9 corresponds to the discontinuity in
u*{t) 8itt = e.

•-> t
6 T-8 T T

Figure C.l: Needle-Shaped Variation

Let r denote any time in the open interval ( 0 , r ) . We select a suffi-

ciently small e to insure that r — e > 0 and concentrate our attention on
this small interval (r — e^r]. We vary the control on this interval while
keeping the control on the remaining intervals [0, r — s] and (r, T] fixed.
Specifically, the modified control is

^-> t
0 T-s T r

Figure C.2: Trajectories x*{t) and x(t) in a One-Dimensional Case.

C.l. Needle-Shaped Variation 395

V eft, t e (r — s,r],
u{t) = I (C.2)
u*{t), otherwise.
This is called a needle-shaped YSuYiaXion as shown in Figure C.l. It
is a jump function and is different from variations in the calculus of
variations (see Appendix B). Also the difference v —u* is finite and need
not be small. However, since the variation is on a small time interval, its
influence on the subsequent state trajectory can be proved to be 'small'.
This is done in the following.
Let the subsequent motion be denoted by x{t) ^ x*{t) for t > r — s,
In Figure 0.2, we have sketched x{t) corresponding to u{t).
Let
6x{t) = x{t) - a;*(i), t>T-e,
denote the change in the state variables. Obviously 6X{T — S) = 0.
Clearly,
Sx{T)^e[x{s)-x\s)], (C.3)
where s denotes some intermediate time in the interval (r — e^r]. In
particular, we can write (C.3) as

6x{r) = 4H^) - ^*('^)] + ^(^)

= ^[/(x(r),^,r) - / ( x * ( r ) , u * ( r ) , r ] + o(s). (C.4)

But Sx{r) is small since / is assumed to be boimded. Furthermore, since

/ is continuous and the difference 6X{T) = X(T) — X*{T) is small, we can
rewrite (C.4) as

6x{t) « e[f{x*{T),v,T)-f{x*{r),u*iT),T)]. (C.5)

Since the initial difference SX(T) is small and since U*{T) does not change
from t > T on, we may conclude that Sx{t) will be small for aU t > r .
Being small, the law of variation of Sx{t) can be foimd from linear equa-
tions for small changes in the state variables. These are called variational
equations. From the state equation in (C.l), we have

^^El^M. = f(a:* + Sx,u*,t) (C.6)

or,
^ + ^^fix\u*,t)+fjx (C.7)
396 C. An Alternative Derivation of the Maximum Principle

or using (C.l),

-r{Sx) ^ U{x\ u*, t)6x, for t > r, (C.8)

tit/

with the initial condition 6X{T) given by (C.5).

The basic idea in deriving the maximum principle is that equations
(C.8) are linear variational equations and result in an extraordinary sim-
plification. We next obtain the adjoint equations.

C.2 Derivation of the Adjoint Equation and the

Maximum Principle
For this derivation, we employ two methods. The direct method, similar
to that of Hartberger (1973), is the consequence of directly integrating
(C.8). The indirect method avoids this integration by a trick which is
instructive.

Direct method. Integrating (C.8) we get

6x{T) = 6x{r)+ f f^[x\t),u\t),t\8x{t)dt, (C.9)

where the initial condition 6X{T) is given in (C.5).

Since 8x{T) is the change in the terminal state from the optimal state
x*(r), the change in the objective function 6J must be negative. Thus,

8J = c8x{T) = C8X{T) + f cfx[x%t),u*{t),t\8x{t)dt < 0. (CIO)

Furthermore, since (C.8) is a linear homogeneous differential equation,

we can write its general solution as

8x{t) = ^t,T)8x{T), (C.ll)

where the fundamental solution matrix or the transition matrix $(t, r ) G

^$(^,r) = Ux%t),u*m^t,r), ^T,T) ^ I, (C.12)

where / is an n x n identity matrix; see Appendix A.

C.2. Derivation of Adjoint Equation and the Maximum Principle 397

Substituting for 6x{t) from (C.ll) into (C.IO), we have

6J = C6X{T) + / cfa,[x*{t), u\t), t]^{t, T)8x{T)dt < 0. (C.13)

This induces the definition

X*(t) = J cf4x'{t),u*{t),t]^t,r)dt + c, (C.14)

which when substituted into (C.13), yields

SJ=^X*{T)SX{T)<0, (C.15)

But Sx{r) is supphed in (C.5). Noting that £ > 0, we can rewrite (C.15)
as
X*{T)f[x*(T),v,T]-X*(r)f[x*iT),u*iT),T]<0. (C.16)
Defining the Hamiltonian for the Mayer form as

H[x, u, A, t] = A/(x, u, t), (C.17)

we can rewrite (C.16) as

if[:r*(r),u*(r),A(r),r] >ff[ar*(r),t;,A(r),r]. (C.18)

Since this can be done for almost every r, we have the required Hamil-
tonian maximizing condition.
The differential equation form of the adjoint equation (C.14) can be
obtained by taking its derivative with respect to r. Thus,

-C/X[X'(T),M'(T),T]. (0.19)

It is also known that the transition matrix has the property:

^ ^ ^ = -$(i,r)/,[x*(r),«*(r),T],

which can be used in (C.19) to obtain

rfA(r) rT
^^ - j cU[x*{t),u*{t),t]^{t,T)U[x*{Tlu*{r),T]dt
-cU[x*{T)X{r),T]. (C.20)
398 C. An Alternative Derivation of the Maximum Principle

Using the definition (C.14) of A(r) in (C.20), we have

^ = -A(r)/,[x*(r),«*(r),r]

with A(T) = c, or using (C.17) and noting that r is arbitrary, we have

A = -A/^[x*,n*,t] = -H^[x*,u\\t), X(T) = c. (C.21)

This completes the derivation of the maximum principle along with the
adjoint equation using the direct method.

Indirect method. The indirect method employs a trick which simplifies

considerably the derivation. Instead of integrating (C.8) explicitly, we
now assume that the result of this integration yields cSx{T) as the change
in the state at the terminal time. As in (C.IO), we have

6J = c6x{T) < 0. (C.22)

First, we define
A(r) = c, (C.23)
which makes it possible to write (C.22) as

SJ - c6x{T) = X{T)6x(T) < 0. (C.24)

Note parenthetically that if the objective fimction J = S{x{T)), we must

define A(r) = dS[x{T)]/dx{T) giving us

*^ = ^i^^^(^) = A(r)6^(T).
Now, X(T)Sx{T) is the change in the objective fimction due to a
change Sx{T) at the terminal time T. That is, A(T) is the marginal
return or the marginal change in the objective function per unit change
in the state at time T. But Sx{T) cannot be known without integrating
(C.8). We do know, however, the value of the change SX{T) at time r
which caused the terminal change Sx(T) via (C.8).
We would therefore like to pose the problem of obtaining the change
6J in the objective function in terms of the known value SX{T); see
FeFdbaimi (1965). Simply stated, we would like to obtain the marginal
return A(r) per unit change in state at time r . Thus,

X{T)SX{T) = 6J = X{T)SX{T) < 0. (C.25)

C,2. Derivation of Adjoint Equation and the Maximum Principle 399

Obviously, knowing A(r) will make it possible to make an inference about

SJ which is directly related to the needle-shaped variation applied in the
small interval (r — e^r],
However, since r is arbitrary, our problem of finding A(r) can be
translated to one of finding A(t), t G [0,r], such that

X{t)6x{t) = \{T)6x{T), t e [0,T], (C.26)

or in other words,

X(t)Sx{t) = constant, A(r) = c. (C.27)

It turns out that the differential equation which X{t) must satisfy can
be easily foimd. From (C.27),

^^[X(t)Sx{t)] = A ^ + XSx = 0, (C.28)

which after substituting for dSx/dt from (C.8) becomes

Xfjx + X6x = (A/^ + X)Sx = 0. (C.29)

Since (C.29) is true for arbitrary 6x, we have

A = -XU = -Ha: (C.30)

using the definition (C.17) for the Hamiltonian.

The Hamiltonian maximizing condition can be obtained by substi-
tuting for 6x{r) from (C.5) into (C.25). This is the same as what we did
in (C.15) through (C.18).
The purpose of the alternative proof was to demonstrate the valid-
ity of the maximum principle for a simple problem without knowledge
of any return function. For more complex problems, one needs compli-
cated mathematical analysis to rigorously prove the maximum principle
without making use of return fimctions. A part of mathematical rigor is
in proving the existence of an optimal solution without which necessary
conditions are meaningless; see Young (1969).
Appendix D

Special Topics in Optimal

Control

In this appendix we will discuss three specialized topics. These are linear-
quadratic problems, second-order variations, and singular control. These
topics are referred to but not discussed in the main body of the text
because of their advanced nature. While we shall not be able to go into
a great detail, we will provide an adequate description of these topics
and list relevant references.

D.l Linear-Quadratic Problems

An important problem in systems theory, especially engineering sciences,
is to synthesize feedback controllers. These controllers provide optimal
control as a function of the state of the system. A usual method of ob-
taining these controllers is to solve the Hamilton-Jacobi-Bellman partial
differential equation (2.19). This equation is nonlinear in general, which
makes it very difficult to solve in closed form. Thus, it is not possible in
most cases to obtain optimal feedback control schemes explicitly.
It is, however, feasible in many cases to obtain perturbation feedback
control, which refers to control in the vicinity of an optimal path; see
Bryson and Ho (1969). These perturbation schemes reqiiire the approx-
imation of the problem by a linear-quadratic problem in the vicinity of
an optimal path (see Section D.2), and feedback control for the approx-
imating problem is easy to obtain.
A linear-quadratic control problem is a problem with Unear dynamics
402 D, Special Topics in Optimal Control

and quadratic objective function. More specifically, it is:

max I J = -x'^Gx + - I {x^Cx + u^Du)dt I (D.l)

u

subject to
x = Ax + Bu, x{Q) =- XQ. (D.2)

The matrices G, C, D, A, and B are in general time dependent. Fur-

thermore, the matrices G, (7, and D are assumed to be negative definite
and the superscript ^ denotes the transpose operation. Note that this
problem is a special case of Row (c) of Table 3.3.
To solve this problem for the explicit feedback controller, we write
the Hamilton-Jacobi-Bellman equation (2.19) as

0 = max[if + Vt] = max I - - ( a : ^ C x + u^Du) + V^\Ax + Bu\ -\-v\

(D.3)
with the terminal boundary condition

V{x,T) = \x^Gx. (D.4)

The maximization of the maximand in (D.3) can be carried out by taking

its derivative with respect to u and setting it to zero. Thus,

^M^ = ^ = (^Duf + V,B = 0=^u' = -V,B{D^)-\ (D.5)

au ou
Note that (D.5) is the same as the Hamiltonian maximizing condition.
Substituting (D.5) in (D.3) and simplifying, we obtain

0 = ^x^Cx + V^Ax - ^V^BD-^B^V^. (D.6)

This is a nonlinear partial differential equation of first order and it

has a solution of the form

V{x,t) = lx'^S{t)x. (D.7)

Substitution of (D.7) into (D.6) yields

0 = \x^\S + 5A + ^S - SBD-^B^S + C\x. (D.8)

D.l, Linear-Quadratic Problems 403

Since (D.8) must hold for all x, it implies the following matrix differential
equation
S + SA + A^S - SBD'^B^S + C = 0, (D.9)
called a matrix Riccati equation, with the boundary condition

S(T) = G. (D.IO)

A solution procedure for Riccati equations appears in Bryson and Ho

(1969). Once we have the solution S(t) of (D.9) and (D.IO), the optimal
feedback control can be written as

u\t) = D{t)-^B' {t)S{t)x{t), (D.ll)

A generaUzation of (D.l), which would be useful in the next section

on the second variation, is to set

1 T C N X
J = -x^ Gx + dt. (D.12)
jf'^^"^) N^ D u

The state equation is given by (D.2). It is possible to derive the optimal

control for this problem as

u*{t) = Dity^iN'^it) + B'^{t)S{t)]x{t), (D.13)

where

S+SA+A^S-{SB+N)D-^(B^S+N^)+C = 0, S{T) = G. (D.14)

For other variations and extensions of the linear-quadratic problem

(D.l) and (D.2), for which explicit feedback controllers can be developed,
the reader is referred to Bryson and Ho (1969).

D.1.1 C e r t a i n t y Equivalence or S e p a r a t i o n Principle

Suppose equation (D.2) is changed by the presence of a Gaussian white
noise w{t) and becomes

X = Ax + Bu + w,

where
E[w{t)] = 0, E[w{t)w{Tf] = Q{t)6{t - r ) ,
404 D. Special Topics in Optimal Control

and x{0) is a normal random variable with

E[x{0)] = 0, E[x{0)x{Of] = Po.

Because of the presence of uncertainty in the system equation, we must

modify the objective fimction in (D.12) as follows:

( \
C N ' X
max < J = E ^x'^Gx + ^{x^,u^) dt\
iV^ D ^ [u]
Assume further that x cannot be directly measured and the measure-
ment process is given by (13.21), i.e.,

y{t) = H{t)x{t)+v{t),

where v{t) is a white noise as defined in (12.72).

The optimal control u* (t) for this linear-quadratic stochastic optimal
control problem can be shown to be given by (D.13) with x{t) replaced
by its estimate x{t); see Bryson and Ho (1969). Thus,

n*(t) - D{t)-^[N^{t) + B^it)S{t)]x{t),

where S is given in (D.14) and x is given by the Kalman-Bucy filter.

'x = Ax + Bu*+w + K[y-Hx], :r(0) = 0,

K - PH^R-\
P = AP + PA^ -KHP + Q, P{0)^Po,

The above procedure has received two different names in the liter-
ature. In economics it is called the certainty equivalence principle; see
Simon (1956). In engineering and mathematics literature it is called the
separation principle, Joseph and Tou (1961). When we call it the cer-
tainty equivalence principle, we are emphasizing the fact that x(t) can be
used for the purposes of optimal feedback control as if it were the certain
value of the state variable x{t). Whereas the term separation principle
emphasizes the fact that the process of determining the optimal control
can be broken down into two steps: first, estimate x by using the optimal
filter; second, use that estimate in the optimal feedback control formula
for the deterministic problem.
D,2. Second-Order Variations 405

D.2 Second-Order Variations

Second-order variations in optimal control theory are analogous to the
second-order conditions in the classical optimization problem of calculus.
To discuss the second-order variational condition is difficult when the
control variable u is constrained to be in the control set fl. So we make
the simplifying assimiption that Q = R^, and thus the control u is
unconstrained. As a result, we are now dealing with the problem:

max \j=f F{x, u, t)dt + ^x{T)] \ (D.15)

subject to
X = f{x^ u, t), x{0) = xo> (D.16)
From Chapter 2, we know that the first-order necessary conditions
for this problem are given by

A = -Ha:, A(T) - 0, (D.17)

Hu = 0, (D.18)
where the Hamiltonian H is given by

H = F + Xf, (D.19)

Since u is unconstrained, these conditions may be easily derived by the

method of calculus of variations. To see this, we write the augmented
objective fimctional as

J = ^x(T)] + I [Hix, u, A, t) - Xx]dt (D.20)

Jo
Consider small perturbation from the extremal path given by (D.16) -
(D.19) as a result of small perturbations 6x{0) in the initial state. Define
the resulting perturbations in state, adjoint, and control variables by
Sx{t), <5A(i), and 6u(t), respectively. These, of course, will be obtained
by linearizing (D.16 - D.18) around the external path:

dux
—rr = fx^x + fu^'^i 6x{0) specified, (D.21)
do

^ = -{HxJxf - SXf - (H^uSu), (D.22)

406 D. Special Topics in Optimal Control

SHu = {HuxSxf + SX{HuXf + (HuuSuf

= {HuuSxf + 6Xfu + {HuuSuf = 0. (D.23)

Alternatively, we may consider an expansion of the objective function

and the state equation to second order since the first-order terms vanish
about a trajectory which satisfies (D.15 - D.18), Prom Bryson and Ho
(1969), this may be accomplished by expanding (D.20) to second order
and all the constraints to first order. Thus, we have

^x
dt
^ 2 Jo
8u
(D.24)
subject to
d8x
= fxSx + fuSu^ 6x{0) specified. (D.25)
IT
Since we are interested in a neighboring extremal path, we must deter-
mine 6u{t) so as to maximize 6^J subject to (D.25). This problem is
a linear-quadratic problem discussed in the previous section. For this
problem, the optimal control 6u*{t) is given by the formula (D.14), pro-
vided Huu{i) is nonsingular for 0 < t < T. The case when Huuify is
singular for a finite time interval is treated in Section D.3. Thus, rec-
ognizing that G = ^xx, C = Hxx, N = H^u, D = Huu, A = fx, and
B = fu, we have

6u%t) = H-^[Hux + f^S{t)]8x{t), (D.26)

where

S + Sfx + f^S-{Sfu+Hxu)H-^{f^S + Hux) + Hxx = 0, S{T) = $^^.

(D.27)
While a ntmiber of second-order conditions can be obtained by pro-
ceeding further from this manner, we shall be interested only in the
concavity condition (or strengthened Legendre-Clebsch condition). It is
possible to show that neighboring stationary paths exist (in a weak sense;
i.e., Sx and Su are small) if

Huu{t) < 0 for 0<t<T, (D.28)

or in other words, Huu{t) is negative semidefinite. First-order conditions,

conditions (D.28), and the condition that S{t) is finite for 0 < t < T
D,3. Singular Control 407

represent sufficient conditions for a trajectory to be a local maximum.

We are not being specific here because in this book we would be relying
mostly on the sufficiency conditions developed in Chapters 2-4, which are
based on certain concavity requirements. We are stating (D.28) because
of its similarity to the second-order condition for a local maximum in
the classical maximization problem.
We must note that

Hu = 0 and Huu < 0 (D.29)

form necessary conditions for a trajectory to be a local maximimi.

D.3 Singular Control

In some optimization problems including some problems treated in this
text, extremal arcs satisfying Hu = 0 occur on which the matrix Huu is
singular. Such arcs are called singular arcs. Note that these arcs sat-
isfy (D.29) but not the strengthened condition (D.28). While no general
sufficiency conditions are available for singular arcs, some additional nec-
essary conditions known as the generalized Legendre-Clebsch conditions
have been developed. A good reference on singular control is Bell and
Jacobson (1975).
We shall only discuss the case in which the Hamiltonian is linear in
one or more of the control variables. For these systems, Hu = 0 implies
that the coefficient of the linear control term in the Hamiltonian vanishes
identically along a singular arc. Thus, the control is not determined in
terms of x and A by the Hamiltonian maximizing condition Hu = 0.
Instead, the control is determined by the requirement that the coefficient
of these linear terms remain zero on the singular arc. That is, the time
derivatives of Hu must be zero. Having obtained the control by setting
dHu/dt = 0 (or by setting higher time derivatives to equal zero) along the
singular arc, we must check additional necessary conditions analogous to
the second-order condition (D.28). For a maximization problem with a
single control variable, these conditions turn out to be

(P^Hu
(-')'!; <0, it = 0,1,2,.... (D.30)
dfi^

The conditions (D.30) are called the generalized Legendre-Clebsch

conditions.
408 D. Special Topics in Optimal Control

Example D . l We present an example treated by Johnson and Gibson

(1963):

{—ir^?
max \ j = - - I x\dt \ (D.31)

subject to

xi = X2+u^ xi{Q) = a^ (D.32)

i2 = -u, a:(0) = fe, (D.33)

xi{T) - X2{T) = 0. (D.34)

Solution. We form the Hamiltonian

H = --x\ + Xi{x2 + u)+ Mi-u), (D.35)

where the adjoint equations are

Ai=xi, A2 = - A i . (D.36)

The optimal control is bang-bang plus singular. Singular arcs must sat-
isfy
if = Ai - A2 = 0 (D.37)
for a finite time interval. The optimal control can, therefore, be obtained
by
^ = A i - A 2 = :ci+Ai = 0. (D.38)

Differentiating once more with respect to time t, we obtain

2 = xi + \i = X2 + u + xi = Q,

which implies
u = -{xi+X2) (D.39)
along the singular arc. We now verify for the example, the generalized
Legendre-Clebsch condition (D.30) for fc = 1:
Appendix E

Answers t o Selected
Exercises

Completely worked solutions to all exercises in this book are contained

in a forthcoming Teachers' Manual, which wiU be made available to
instructors by the publisher when it is ready.

Chapter 1

1.1 (a) Feasible. J = -333,333.

1.2 J = 36.
1.3 (a) C = $157,861/year.
(b) J = 103.41 utils.
(c) $15,000/year.

1.4 (b) W{20) = 985,648; J = 104.34.

1.12 imp(Gi,G2;i) = (Gi - G2)e-^*.

Chapter 2

2.2 The optimal control is

2 if 0 < t < 2 - h i 2 . 5 ,

u* (t) = { undefined if i = 2 - In 2.5,

0 ift>2-ln2.5.
410 E. Answers to Selected Exercises

2.8 u* = bang(0,1; Ai - A2), where X{t) = (8e-2(*-i8), 4e-2(*-i8)).

2.10 (a) u* = bang[0,1; (giKi + 52^2)(Ai - A2)].

(c) i = T- (1/52) Hio^bi - 9ih2)/{g2 - giM-

2.12 (a) a;(100) = 30 - 20e-i° « 30.
(b) w* = 3 f o r i € [0,100].

3 for i s [0, 100-101n2],

(c) u*{t) =
0 otherwise.

2.14 (a) C*{t) = pWoe^'-P^yil - e-P^).

(b) C*it) = Kir-p).
2.17 (a) X = x + 3Aa;2, A(l) = 0, and x =-x^ + A, x{0) = 1.
2.18 X = f{x) + b{x)u, x{0) = xo, x{T) = 0.

u = [b{xfg'{x) - 2<^u{b(x)f'{x) - V{x)f{x)y\l\l(?h{x)\.

Chapter 3

3.1 X — Ml > 0, « 1 — M2 > 0, Ml > 0, 1 + M2 > 0-

3.2 X = [-1, 5].

3.7 L = F(x, v) + A/(x, M, i) + iig{x, u, t),

A = -(a/a)X - 1^, /x > 0, /x^ = 0.

3.11 A(i) = t - 1.

3.12 (a) A(i) = 10 I _g0.1(t-100)

0 if ii: - 300,

-10 2 _ gO.iCic/s-ioo) if ii: < 300,

M*(t) = bang[0,3;A + /Lt].

The problem is infeasible for K > 300.

E. Answers to Selected Exercises 411

(b) r * = niin[0, 100-K/3],

0 for t < t**,
u*{t) = I
3 iort>t**.
V

3.18 11.87 minutes.

3.19 u* = - 1 , T* = 5.
3.20 tx* = - 2 , T* = 5/2.
3.29 (a) {I, P,X} = {h - p{S - Pi), S, 2(5 - Pi)}.
(b) I = h.
Chapter 4
4.1 u*{t) = -l, iJ,i = -X = 1/2-t, H2 = 7] = 0.
4.2 One solution appears in Figure 3.1. Another solution is u(t) = 1/2
for t G [0,2]. There are many others.
4.4 (a) u* = 0.

1, 0<t<l-T,
(c) u* = <
0, l-T <t<T.

(e) J = - ( 1 / 8 + 1/8K).
(f) J = - 1 / 8 .
Chapter 5

5, t < l + 61n0.99«0.94,
5.1 (a) u*{t)
0, t > 0.094.

-5, 0 < ^ < 0.28,

0, 0.28 < t < 0.4,

(b) A2(t)/Ai(i) = e3(*'-«+i)/i2,^t*(f) = J
5, 0.4 < i < 0.93,

0, 0.93 < t < 1.0.

412 E. Answers to Selected Exercises

5.5 u* = v* = 0 for all t.

5.7 u* = 0, V* = 4/5 for t € [0,49],

u* = 0, ^;* = 0 for ^€[49,60],

J* = 34,420.

5.10 (b) /(**) = t* - 101n(l - 0.3e°-"*).

(c) t* = 1.969327, J{t*) = 19.037.

Chapter 6

6.5 Q(t) = t^ - 160*3 ^ 1740^2 _ 7350^ + 9639.

6.7 V* = sat[-F2,14; (A2 - Aip)2/?Ai].

6.9 J* = 10.56653.
6.10 y*{t) « 3e-3*, y*(t) w 1 - Se'^*.

0, 0 < i < 7/3,

2, 7/3 <t< 3,
6.12 M*(i) = {
-1, 3 < ^ < 13/3,

0, 13/3 <t<6.

-fi+|, t€[0,l],
6.13 /xi = <
0, tG{0,3].

0, i e [0,1.8),
f^2= \
- i i + f, i e [1.8,3].

0, tG[0,l)U(1.8,3],
77= <
-fi+|, « € [1,1.8).
E. Answers to Selected Exercises 413

-1 for t G [0,1.8),
6.14 (a) v*{t) = {
1 for i e (1.8,3].

(b) t;*(t) = 1 for i G [0,10].

-1 for t G [0,1/2],

0 for f G (1/2, ti], where ti = 23/12,

6.15 V* = <
+1 f o r i G ( i i , i i + l/2],

0 for t G (ii + 1/2,4].

0, for0<i<ii,
6.17 u*(t) = \
h(t-ti)/c, ioiti<t<T,

where ti=T- ^2BC/h.

Chapter 7

7.1 p* = 102.5 + 0.2G.

7.7 {u)/{pS) = {Sp)/{rj{p + S)).
7.10 G + SG = bang[0, oo; A + 1],

-X + (p + S)X = 7r'{G).

7.12 The equations corresponding to (6.28) and (6.29) can be obtained

by replacing p by p+r/r. The form of (6.30) remains imchanged.

7.17 (b)
1 1 Xo _, 1 . X-X^
h
rQ + 6 n —
: l x^ , t2 = rQ„ + S. In •X — XT

7.18

T > ^ In ^<^(1 ~ ^o) ~ ^^0 + i In f i

~ rQ + 6 r Q ( l — x^) — 6x^ 6 XT '
414 E. Answers to Selected Exercises

7.19 The reachable set is [xoe'^^, {xo - x)e-(*+'''5)^ + x],

where x = rQ/{W + rQ).

1-A
7.25 imp{A^B;t) = - r 1-B

7.26 (b) J = 0.6325.

Chapter 8

8.1 (a) y = l^z = 3.

(b) y - 2, z - 10.
8.2 (a) (1,3) is a relative maximum.
(b) (2,10) is a relative maximum.
8.3 x = 50;x = 80.
8.6 (a) a: = 4 is a local maximum.
(b) a: = 8 is a local maximimn and a: = 20 is a local and a global
maximum.
8.7 (a) (0, 0) is the nearest point.
(b) (1/2,1/2) is the nearest point.
8.8 (1/V^, 2/\/5) is the closest point.
8.9 (a) ( 2 ^ , 0 ) .
(b) (0,2).
(c) (0,2).
8.10 Xj = dF/dxJ for i = 1,2,..., n; A^+i = 1. Note that here T

denotes the terminal time, and not the transpose operation.

+1 ifA'=+i6>l,

8.14 k* -1 ifA'^+iJx-l ,whereA*= = (7 + A)^-'=A^

u

0 if iX^+^b] < 1.
E. Answers to Selected Exercises 415

Chapter 9
9.1 t' = 5.25, T = 11.
9.3 T = i* = 2.47.
9.4 t^ = 0, T = 30.
l2
9.5 u*{t) = sat[0,1;u^{t)], where u^{t) = \2 - e005(t-34.8)|'/(i + i),

ti^S;t2-T = 34.8.
Chapter 10
10.3 X = 0.734.
10.4 (a)
X Sep
X =
(-^i)W('-^i) + prX

(b) For p = 0, 5 = 220,000. Fovp = 0.1,x = 86,000. For p = oo,

X = 40,000.
10.5 [g'{x) - p]\p - c{x)] - c^{x)g{x) = 0.
10.7 [g'{x) -p\\p- c{x)] - c'{x)g{x) + p = 0.
Chapter 11
11.1 A(i) = \oe^P-^^\ where
[Koe^T + 5(1 _ g/3T)/^ _ ^^j(2p - 0)
Xo =
e/?T _ e2(/3-p)T

e^').
p p Zp:(-'
Chapter 12
12.5 0 < T + ;^ ha(l - ^) = i.
12.8 ti = r / 2 .
Chapter 13
13.5 q*{x) = j^^^,c*ix) = j^{p-r0-i^)x,
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Index
Abad, P.L., 417, 474 Axsater, S., 418
adjoint equation, 31, 32, 36, 230
adjoint function, 322 Baar, T., 425
adjoint variables, 10, 32 backlogging of demand, 5, 348
adjoint vector, 30, 33 Bagchi, A., 419
admissible control, 24 Balachandran, B., 445
advertising model, 5, 6 Balakrishman, A.V., 455
affine function, 19 bang function, 16
Agnew, C.E., 417 bang-bang, 42, 78, 84, 85, 87,
Alam, M., 249, 265, 417, 465 122, 132, 135, 190, 194,
AUen, K.R., 286, 417 232, 244, 247, 257, 258,
Amit, R., 154, 279, 418 313, 322, 328, 329, 333,
Amoroso-Robinson relation, 187 334, 408
Anderson, R.M., 418 bankruptcy, 358
anti-difference operator, 376 Bamea, A., 452
Aoki, M., 345, 418 Basar, T., 308, 419, 420, 430,
applications to biomedicine, 295 446
applications to finance, 119 Bass, F.M., 419
applications to marketing, 185 Bayes theorem, 342
Arnold, L., 344, 347, 348, 418 Bean, J . C , 182, 419
Aronson, J.E., 418, 471 begiiming game, 321
Arora, S.R., 243, 418 Bell, D.J., 42, 407, 419
Arrow, K.J., 10, 46, 58, 81, 82, Belhnan, R.E., 9, 27, 419
186, 188, 289, 290, 360, Bennett, R.J., 474
418, 456, 459 Bensoussan, A., 10, 58, 88, 154,
Arthur, W.B., 304, 418 173, 182, 191, 315, 322,
Arugaslan, O., viii 324, 360, 419, 420, 444,
Arutyunov, A.V., 103, 418 461, 470
Aseev, S.M., 103, 418 bequest function, 7, 355
Aubin, J.-R, 418, 466 Berkovitz, L.D., 10, 27, 308, 420
autocorrelation function, 343 Bernoulli, Jacob, 8, 9, 384
autonomous, 52, 81 Bernoulli, Johann, 8, 9, 384
484 Index

Bertsekas, D.P., 236, 346, 420, Bulirsch, R., 9, 108, 422, 461,
430 474
Bes, C , 173, 182, 420 Bullinger, H.J., 479
Beyer, D., viii, 421 Bultez, A.V., 315, 419, 422
Bharucha-Reid, A.T., 480 Burdet, C.A., 236, 239, 422
Bhaskaran, S., 182, 421 Burmeister, E., 290, 291, 422
bionomic eqmlibrium, 269, 314 Buskens, C., 455
Black, F., 355, 421 Butkowskiy, A.G., 317, 422
Blaquiere, A., 325, 326, 331, 421, Bylka, S., 182, 254, 423
464, 473
BUss point, 306 Gaines, P., 423
BUss, G.A., 9 calculus of variations, 8, 379
Boiteux problem, 241 Canon, M.D., 235, 423
Boiteux, M., 241, 421 canonical adjoints, 33
Boltyanskii, V.G., 9, 27, 421, canonical system of equations,
462 33
Bolza, 9 capital accumulation model, 290
Bolza form, 25, 26, 229, 235, 239 Caratheodory, C., 9
Bookbinder, J.H., vi, 10, 304, Carlson, D.A., 10, 82, 423-425
421 Carraro, C , 315, 425
boundary conditions, 61, 350 Carrillo, J., 154, 425
boundary interval, 105 Case, J.H., 308, 325, 425
Bourguignon, F., 421 Cass, D., 425
Brachistochrone problem, 8, 9, Cassandras, C.G., 236, 461
384 cattle ranching problem, 318
Breakwell, J.V., 190, 421 Caulkins, J.P., 477
Brekke, K.A., 360, 422 CeUina, A., 418
Brito, D.L., 304, 422 certainty equivalence, 403, 404
Brock, W.A., 360, 454 Cesari, L., 26, 425
Brockhoff, K., 420 chain of forests model, 276-278
broken extremal, 387 chain of machines, 254
Brotherton, T., 423 Chand, S., 182, 254, 425, 469
Brown, R.G., 164, 422 Chandra, T., 445
Brownian Motion, 356 Chang, S., 360, 418
Bryant, G.F., 27, 422 Charnes, A., 304, 425
Bryson, Jr., A.E., 33, 87, 105, Chatterjee, R., 463
108, 341, 401, 403, 404, Chen, S.F., 425
406, 422 Cheng, F., viii
Buchanan, L.F., 345, 422 Chiarella, C , 426
Bucy, R., 345, 447 Chichilinsky, G., 426
Index 485

Chikan, A., 440 Cottle, R.W., 430

Chintagunta, P.K., 315, 426 Cowling, K., 444
Chow, G.C., 345, 426 critical points, 218
Clark, C.W., 10, 241, 267, 268, Crouhy, M., 173, 182, 419
273, 286, 312, 314, 426 Cruz, J.B., Jr., 472
Clarke, F.H., 27, 106, 167, 427 CuUum, C D . , 235, 423
Clemhout, S., 427 current-value adjoint variables,
closed-loop control, 346 70
closed-loop Nash solution, 311 current-value formulation, 58,
Coddington, E.A., 193, 427 65, 239
Cohen, K.J., 36, 187, 427 current-value functions, 67
common-property fishery re- current-value Hamiltonian, 66
sources, 312 current-value Lagrange multipli-
comparison lemma, 198 ers, 67
complimentary slackness condi- current-value Lagrangian, 66
tions, 60 current-value maximum princi-
computational methods, vii, ple, 68, 111
108, 236 cycloid, 9
concave function, 18, 64 Cyert, R.M., 36, 187, 427
Connors, M.M., 10, 427
Conrad, K., 427 D'Autimie, A., 428
Constantinides, G.M., 427 Dantzig, G.B., 418, 427
constraint of rth order, 105 Darrat, A.F., 456
constraint qualification, 60, 105, Darrough, M.N., 427
226 Dasgupta, P., 279, 428, 474, 476
constraints, 24 Davis, B.E., 119, 129, 152, 360,
consumption model, 7, 8 428
consumption-investment prob- Davis, M.H.A., 346, 428
lem, 355 Davis, R.E., 456
contact time, 105 Dawid, H., 428
continuous wheat trading model, Day, G., 463
164 DDT, 299, 300, 303
control of pest infestations, 295 Deal, K.R., 311, 315, 337, 428
control trajectory, 2, 24 decision horizon, 173, 175, 177,
control variable, 2, 24 179, 180
convex combination, 17 Deger, S., 428
convex function, 18, 64 Deissenberg, C , 428, 429
convex huU, 17 Deistler, M., 476
convex set, 17 derivative operator, 363
CorelDRAW, vii derived Hamiltonian, 45
486 Index

Derzko, N.A., 45, 130, 279, 315, dynamic efficiency condition,

317, 360, 420, 429, 466, 291
469 dynamic programming, 27, 345,
DeSarbo, W., 304, 445 393
Dhrymes, P.J., 213, 429
difference equation, 229, 341 economic applications, 289, 360
diflference operator, 375 economic interpretation, 34, 69,
differential games, 308 138, 291, 322
differentiation with scalars, 12 educational policy, 21
differentiation with vectors, 12, eigenvalues, 370, 371
13 eigenvectors, 370, 371
diffusion process, 344 El-Hodiri, M., 431
Dirac delta function, 323, 344 EUashberg, J., 304, 431, 445, 475
direct adjoining method, 100 Elton, E., 119, 431
direct contribution, 35 Elzinga, D.J., 119, 152, 428
discount factor, 6 ending correction, 158
discount rate, 6 ending game, 321
entry time, 105
discrete maximum principle,
environmental management, 315
217, 228, 229
EOQ, 153
discrete-time optimal control
epidemic control, 295
problem, 228, 229
equilibrimn relation, 36
distributed parameter maximimi
Erickson, G.M., 431
principle, 317
Erickson, L.E., 10, 154, 315, 443
distributed parameter systems,
Euler, 8, 384
315
Euler equation, 380, 382, 387,
Dixit, A.K., 429
388
Dobell, A.R., 290, 291, 422
EXCEL, vii, 48-50
Dockner, E.J., 10, 289, 304, 308, exhaustible resource model, 279
315, 429, 430, 432, 446 exit time, 105
Dohrmann, C.R., 236, 430
Dolan, R.J., 430, 445 factorial power, 375
Dorfman, R., 430 Fan, L.T., 154, 304, 431, 443
Dornoff, R.J., 474 Farley, J.U., 475
Drews, W., 430 Feichtinger, G., vi, viii, 10, 33,
Dreyfus, S.E., 420 58, 69, 81, 99, 106, 108,
dual variables, 36 113, 154, 167, 185, 194,
Dubovitskii, A.Y., 430 211, 289, 304, 322, 427-
Dunn, J . C , 236, 430 429, 431-434, 438-440,
Durrett, R., 347, 431 442, 446, 451, 453, 455,
Index 487

457^59, 463-465, 470, Furst, E., 476

473, 475^78, 480
Feinberg, F.M., 434 Gaandolfo, G., 436
Fel'dbaum, A.A., 31, 393, 398, Gaimon, C , 154, 249, 304, 322,
434 331, 425, 435, 436
Ferreira, M.M.A., 103, 434 Galileo, 384
Ferreyra, G., 434 Gamkrelidze, R.V., 9, 436, 462
Filar, J., 315, 425 Gandolfo, G., 432
Filipiak, J., 434 Gaskins, Jr., D.W., 436
filtering, 339, 341 Gaugusch, J., 437
finite diflference equations, 375 Gaussian, 341-343
first-order pure state con- Geismar, N., viii
straints, 106, 108
Gelfand, I.M., 379, 380, 382,
Fischer, T., 434
387, 389, 437
Fisher, A.C., 461
general discrete maximum prin-
fishery management, 315
ciple, 234
fishery model, 268, 312
general inequality constraints,
fishing mortality function, 314
97
fixed-end-point problem, 70
generalized bang-bang, 87, 132
Fleming, W.H., 346, 360, 434
generalized derivative, 344
Fletcher, R., 434
generalized Legendre-Clebsch
Fomin, S.V., 379, 380, 382, 387,
condition, 152, 407, 408
389, 437
forecast horizons, 173 Geoffrion, A.M., 453
forest fertilization model, 287 Gerchak, Y., 437
forest thinning model, 273, 276 Gfrerer, H., 437
forgetting coefficient, 5 Gibson, J.E., 408, 445
Forster, B.A., 435 Gihman, LI., 344, 353, 437
Fourgeaud, C , 435 Gillessen, W., 455
Francis, P.J., 295, 435 Girsanov, I.V., 437
Frankena, J.F., 435 Glad, S.T., 437
free-end-point problem, 70 goal level, 319
Friedman, A., 308, 435 GOAL SEEK, 48, 49
Fromovitz, S., 228, 455 Goh, B.-S., 108, 267, 437
Fruchter, G.E., 315, 435 Goh, C.J., 476
fuU-rank condition, 20, 60, 105, Goldberg, S., 375, 437
106 Golden Path, 82
Fuller, D., 280, 435 Golden Rule, 82, 93
fundamental lemma, 382 Goldstine, H.H., 437
Funke, U.H., 435 goodwill, 5, 186
488 Index

goodwill elasticity of demand, 304, 317, 322, 428, 432,

188 433, 438-442, 453, 473
Gopalsamy, K., 437 Harvey, A.C., 442
Gordon's formula, 145 Haunschmied, J., 304, 433
Gordon, H.S., 268, 269, 437 Haurie, A., 10, 82, 173, 308, 315,
Gordon, M.J., 145, 437 317, 322, 420, 424, 425,
Gould, J.P., 191, 210, 214, 437 438, 442
Green's theorem, 185, 196, 198, Haussmann, U.G., 442
205, 211, 214, 270, 296, Heal, G.M., 279, 428, 443, 476
297, 305, 314 Heaps, T., 241, 443
Grimm, W., 438, 459 Heckman, J., 443
Gross, M., 438 Heineke, J.M., 427
Gruber, M., 119, 431 Hestenes, M.R., 10, 58, 62, 443
Gruver, W.A., 448 higher-order constraints, 105
HJB equation, 30, 31, 354
Hadley, G., 10, 58, 289, 438 HMMS model, 153
Hahn, M., 438 Ho, Y.-C., 33, 87, 105, 308, 311,
Halkin, H., 27, 235, 438 341, 401, 403, 404, 406,
Hamalainen, R.P., 315, 438 422, 443, 459, 473
Hamilton, 9 Hochman, E., 360, 464
Hamilton-Jacobi equation, 349 Hoffmann, K.H., 443
Hamilton-Jacobi-BeUman equa- Hohn, F., 174, 457
tion, 27, 30, 345, 349 Holly, S., 443
Hamiltonian, 30, 35, 60, 230, Holt, C.C., 153, 443
291, 397 Holtzman, J.M., 235, 443
Hamiltonian maximizing condi- homogeneous equation, 363
tion, 30, 34, 397 homogeneous equations of order
Han, M., 438 n, 365
Hanson, M., 457 homogeneous equations of order
Hanssens, D.M., 438 one, 364
Harris, F.W., 153, 438 homogeneous equations of order
Harris, H., 303, 439 two, 364
Harrison, J.M., 357, 439 homogeneous function of degree
Hartberger, R.J., 27, 396, 430, one, 19
439 homogeneous partial differential
Hartl, R.F., viii, 10, 26, 27, 33, equations, 374
58, 62, 69, 81, 89, 99, Horsky, D., 443
100, 105, 106, 108, 113, Hotelling, H., 279, 443
115, 154, 167, 174, 185, Hung, N.M., 442
194, 211, 239, 243, 303, Hurst, Jr., E.G., 10, 58, 154, 419
Index 489

Hwang, C.L., 154, 443 Jazwinski, A.H., 444

Hyun, J.S., 438 Jedidi, K., 304, 445
Jennings, L.S., 445
Ijiri, Y., 153, 165, 444 Jeuland, A.P., 430, 445
Ilan, Y., 154, 418 Jiang, J., 445
imp, 17 Johnson, C D . , 408, 445
impulse control, 16, 125, 202, Jones, P., 445
204, 322, 324, 325 J0rgensen, S., viii, 10, 154, 267,
impulse control model, 88 289, 304, 308, 315, 429,
impulse Hamiltonian, 326 430, 433, 440, 445, 446
impulse maximum principle, Joseph, P.D., 341, 404, 446
326, 332 jirnip conditions, 103, 108
impulse stochastic control, 360 jump Markov processes, 360
imputed value, 219 junction times, 105
indirect adjoining method, 98,
100, 104,111 Kaitala, V.T., 315, 433, 438, 446
indirect contribution, 35 Kalaba, R.E., 419
infinite horizon, 6, 80 Kalish, S., 304, 435, 446, 447
inhomogeneous partial differen- KaU, P., 439, 458, 470
tial equation, 374 Kahnan filter, 339, 340, 342
instantaneous profit rate, 25 Kahnan, R.E., 341, 345, 447
interior interval, 105 Kaknan-Bucy filter, 339, 345
Intriligator, M.D., 290, 444, 456 Kamien, M.I., 10, 248, 253, 289,
inventory control problem, 117 303, 447
loffe, A.D., 444 Kamien-Schwartz model, 249
Isaacs, R., 9, 133, 308, 444 Kaplan, W., 447
isoperimetric profit constraint, Karatzas, I., 340, 344, 347, 359,
214 360, 447
Ito stochastic differential equa- Karreman, H.F., 421
tion, 344, 345 Keeler, E., 448
Ivanilov, Y.P., 304, 480 Keller, H.B., 299, 448
Kemp, M.C., 10, 58, 289, 426,
Jabrane, A., 424 438, 448
Jacobi, 9 Kendrick, D.A., 448
Jacobson, D.H., 42, 108, 407, Keon, J.W., 476
419, 444, 451 Khmelnitsky, E., 10, 448, 449,
Jacquemin, A.P., 188, 191, 444 454
Jagpal, S., 444 Kilkki, P., 273, 274, 448
Jain, D., 315, 426 Kirakossian, G.T., 304, 440
Jamshidi, M., 444 Kirby, B.J., 448
490 Index

Kirk, D.E., 31, 448 L'Hospital, 384

Klein, C.F., 448 Lagrange, 8
Kleindorfer, G.B., 234, 449 Lagrange form, 25
Kleindorfer, P.R., 174, 182, 234, Lagrange multipliers, 57, 218
448, 449, 470 Lagrangian, 57, 60
Kleinschmidt, P., 440 Lagtmov, V.N., 450
Knobloch, H.W., 449 Lakhani, C , 465
Knowles, G., 449 Lansdowne, Z.F., 206, 450
Kogan, K., 10, 448, 449, 454 Lasdon, L.S., 450
Kopel, M., 428 Leban, R., 10, 289, 450, 451
Kort, P.M., 10, 154, 267, 289, Leclair, S.R., 445
303, 304, 433, 440, 441, Lee, E.B., 129, 450
446, 478 Lee, S.C, 213, 469
Kortanek, K., 304, 425 Lee, W.Y., 450
Kotowitz, Y., 449 left and right limits, 15
Kozlowski, J., 480 Legendre, 8
Krabs, W., 443 Legendre's conditions, 388
Kraft, D., 108, 422 Legey, L., 304, 450
Krarup, J., 430 Lehoczky, J.P., 130, 359, 447,
Krauth, J., 304, 441 450, 469
Kreindler, E., 449 Leibniz, 8
KreUe, W., 420, 449 Leitmann, G., 27, 267, 308, 379,
Krichagina, E., 449 425, 437, 438, 442, 451,
Kriebel, C.H., 234, 449 457, 473
Kriendler, E., 108 Leizarowitz, A., 424, 425
Krouse, C O . , 129, 449, 450 Leland, H.E., 451
Krutilla, J.V., 447 Lele, M.M., 108, 444, 451
Kugelmann, B., 450 Lele, P.T., 243, 418
Kuhn, H.W., 472 Lenclud, B., 435
Kuhn-Tucker conditions, 218, Leonard, D., 10, 289, 451
220, 228 Leondes, C.T., 422, 473, 479
Kuhn-Tucker constraint qualifi- Lesourne, J., 10, 289, 360, 419,
cation, 226, 227 420, 450, 451
Kumar, S., viii Lev, B., 436
Kurawarwala, A.A., 450 Levine, J., 451
Kurcyusz, S., 103, 450 Levinson, N.L., 193, 427
Kurz, M., 10, 46, 58, 81, 82, 188, Lewis, T.R., 451, 452
289, 290, 418 Li, G., 154, 452
Kushner, H.J., 450 Lieber, Z., 174, 182, 438, 449,
Kydland, F.E., 450 452
Index 491

LigneU, J., 452 maintenance and replacement

LiUen, G.L., 304, 446 model, 241, 242, 248,
line integral, 197 331
linear differential equations, 363 Majumdar, M., 454
linear independence, 20 Malinowski, K., 115, 454, 472
linear Mayer form, 25, 26, 239 Malliaris, A.G., 360, 454
linear programming, 87, 132 Mangasarian, O.L., 46, 64, 226-
linear-quadratic case, 85 228, 455
linear-quadratic problems, 401 Manh-Hung, N., 279, 455
linearly independent, 20 Mantrala, M.K., 345, 458
Lintner, J., 452 MAPI (Machinery and Applied
Lions, J.L., 88, 317, 324, 360, Products Institute), 241
420, 444, 452, 470 MAPLE, 150
Little, J.D.C., 452 marginal cost, 36, 187
little-o notation, 15 marginal cost equals marginal
Liu, P.-T., 418, 421, 428, 451, revenue, 36
452 marginal return, 398
Loewen, P.D., 106, 427 marginal revenue, 36
logarithmic Brownian Motion, Markus, L., 450
356 martingale problems, 360
Long, N.V., 10, 289, 308, 315, Martirena-Mantel, A.M., 455
426, 430, 448, 451, 452 Marzano, P., 432
long-rim stationary equilibrium, Masse, P., 241, 455
82 Mate, K., 443
Loon, P.J.J.M., van, 453 Mathematica, 150
Lou, S., 449, 453 mathematical requirements, 1
Lucas, Jr., R.E., 304, 453 Mathewson, P., 449
Luenberger, D.G., 228, 453 matrix Riccati equation, 345,
Luhmer, A., 433, 453 403
limiped parameter systems, 315 Matsuo, H., 450
Lundin, R.A., 174, 182, 453 Maurer, H., viii, 108, 115, 118,
Luptacik, M., 303, 441, 453, 463 455
Luus, R., 454 maximized Hamiltonian, 114
Lynn, J.W., 249, 417 maximum, 388
maximum likelihood estimate,
Macki, J., 454 342
Magat, W.A., 454 maximum principle, 23, 33, 34,
Magill, M.J.P., 454 57, 58, 67, 104,113, 217,
Mahajan, V., 430, 447, 452, 454 393
Maimon, O., 10, 448, 449, 454 May, R.M., 418
492 Index

Mayer form, 25, 397 model type (b), 85-87

Mayne, D.Q., 27, 108, 236, 422, model type (c), 85
456, 460, 462 model type (d), 85
McCabe, J.L., 451 model type (e), 85, 86
McCann, J.M., 454 model type (f), 85, 86, 251
McEneaney, W.M., 470 model types, 83, 85
McGuire, T.W., 304, 469 modeling "tricks", 86
Mclntyre, J., 108, 456 Modigliani, F., 130, 153, 174,
McNicoU, G., 304, 418 443, 457
McShane, E.J., 10 Moiseev, N.N., 457
measurement noise, 340 Monahan, G.E., 457
Meech, J.A., 445 Mond, B., 457
Mehlmann, A., 304, 305, 308, Moore, E.J., 476
429, 433, 441, 456 Morey, R.C., 454
Mehra, R.K., 304, 456 Morton, T.E., vi, 174, 182, 254,
Mehrez, A., 456 259, 264, 453, 457, 458,
Merton, R.C., 355, 456 469
Mesak, H.I., 456 Motta, M., 324, 458
Michel, P., 428, 435, 457 Muller, E., 430, 452, 454, 458
middle game, 321 Mulvey, J.M., 469
Miele, A., 196, 457 Murata, Y., 458
MiUer, M.H., 130, 457 Murray, D.M., 236, 458
MiUer, R.E., 457 Muth, J.F., 153, 443
Milyutin, A.A., 430 Muzicant, J., 322, 458
minimax solution, 308, 309
minimum fuel problem, 238 Naert, P.A., 315, 419, 422
Mirman, L.J., 452, 457 Nahorski, Z., 458
Mirrlees, J., 457 Naik, P.A., 345, 458
miscellaneous applications, 303 Nash solutions, 308
Mischenko, E.F., 9, 462 Naslund, B., 10, 58, 154, 241,
MitcheU, A., 457 278, 287, 419, 458
Mitra, T., 454 natural resources, 267, 360
Mitter, S.K., 459 necessary condition, 31, 33, 228
mixed constraints, 59, 104, 106 Neck, R., 458
mixed inequality constraints, 3, needle-shaped variation, 394,
57, 58 395
mixed optimization technique, neighborhood, 15
258 Nelson, R.T., 304, 458
model type (a), 84, 85, 87, 243, Nepomiastchy, P., 304, 459
244 Nerlove, M., 186, 188, 459
Index 493

Nerlove-Love advertising model, optimal long-run stationary

186 equilibriimi, 82, 189
Neuman, C.P., 186, 477 optimal path, 25
Neustadt, L.W., 10, 455, 459 optimal thinning, 274
Newton, 8, 384 optimal trajectory, 25
Nguyen, D., 459 order of the constraint, 105
Nissen, G., 322, 420 Oren, S.S., 460
nonlinear programming, 217, Osayimwese, I., 460
218, 227 overdraft, 124
nonzero-simi games, 310 Ozga model, 214
norm, 15 Ozga, S., 214, 460
Norstrom, C.J., vi, 125, 153,
170, 459 Paiewonsky, B., 108, 456
Norton, F.E., 345, 422
Palda, K.S., 186, 460
notation, 10
Pantoja, J.F., 236, 460
Novak, A., 304, 433, 434, 441,
parametric linear programming,
459
87
Oakland, W.H., 304, 422 Parlar, M., 437, 460
Oberle, H.J., 438, 459 Parrish, B., 417
objective function, 2, 25, 398 Parsons, L.J., 438
Oettli, W., 422 partial differential equations,
Oguztoreli, M.N., 459 372
oil driller's problem, 324 partial fractions, 350
0ksendal, B.K., 344, 360, 422, particular integral, 367
459 particular solutions, 366, 367
Okuguchi, K., 426 path of least time, 8
Olsder, G.J., 419, 459 Pauwels, W., 460
one-sector model, 291 Pekelman, D., 154, 174, 182,
one-sided constraints, 71 241, 259, 460, 461
Oniki, H., 460 Pepyne, D.L., 236, 461
open access fishery, 269 Pesch, H.J., 9, 450, 461
open-loop Nash solution, 310 pessimal solution, 146
optimal consumption of an ini- Peterson, D.W., 461
tial investment, 89 Peterson, F.M., 461
optimal control problem, 25 Peterson, R.A., 454
optimal control theory, 1, 379 Petrov, lu.P., 461
optimal economic growth mod- phase diagram, 192, 293, 301
els, 289, 293 Phelps, E.S., 437
optimal financing model, 129 Pierskalla, W.P., 241, 461
494 Index

Pindyck, R.S., 279, 360, 429, rank of a matrix, 20

461, 462, 478 Rao, R.C., 315, 463
Pitchford, J.D., 435, 452, 462 Rapoport, A., 464
Pliska, S.R., 357, 439 Rapp, B., 241, 464
Pohjola, M., 462 Rausser, G.C., 360, 461, 464
Polak, E., 108, 235, 423, 456, 462 Raviv, A., 304, 464
pollution control model, 299, 302 Ravn, H.F., 458
Pontryagin, L.S., 9, 10, 23, 27, Ray, A., 464
76, 106, 393, 462 reachable set, 3, 59
Powell, S.G., 460 Reeves, CM., 434
predator-prey relationships, 267 regional allocation of invest-
Prescott, E.G., 450 ment, 52
Presman, E., 462, 463 Reinganum, J.F., 464
price elasticity of demand, 187 Rempala, R., 174, 464
price shield, 174, 175, 177 Richard, S.F., 427, 464
principle of optimality, 27, 346, Ringbeck, J., 304, 464
358 Ripper, M., 304, 450
product rule for differentiation, Rishel, R.W., 346, 434, 465
14 Roberts, S.M., 33, 465
production fimction, 292 Robinett, R.D., 236, 430
production planning model, 153, Robinson, B., 465
339 Robson, A.J., 322, 465
production smoothing, 154 Rockafeller, R.T., 465
production-inventory model, 4, Roxin, E.G., 421, 423, 452
153, 154, 234 Russak, B., 465
Proth, J.-M., 173, 182, 419, 425 Russell, D.L., 427, 465
Prskawetz, A., 463 Riistem, B., 443
pure constraints, 116 Ruusunen, J., 315, 438
pure state variable inequality Ryu, Y., viii
constraints, 3, 97, 98,
104 saddle point, 19, 309
Pytlak, R., 108, 463 Sage, A.P., 317, 465
Salukvadze, M.E., 465
quasiconcave fimction, 64 salvage value, 3, 25, 87
quasiconvex function, 64 Samaratunga, G., 466
Samuelson, P.A., 465
Rajagopalan, S., 154, 452 Sargent, T.J., 453
Raman, K., 360, 463 Sarma, V.V.S., 249, 265, 417,
Rampazzo, F., 324, 458 465
Ramsey, P.P., 69, 289, 306, 463 Sasieni, M., 466
Index 495

sat fiinction, 16 476, 480

Sawyer, A., 345, 458 Sethi-Morton model, 254, 264,
Scalzo, R.C., 466 331
Schaefer, M.B., 268, 466 shadow price, 10, 35, 219
Schijndel, G.-J.C.Th.,van, 304, Shapiro, A., 472
466 Shapiro, C , 103, 472
SchiUing, K., 466 Shell, K., 289, 425, 472
Schmalensee, R., 451, 452 Shipman, J.S., 33, 465
Scholes, M., 355, 421 shooting method, 182
Schubert, U., 303, 453 short-selling, 124
Schultz, R. L., 438 Shreve, S.E., 340, 344, 346, 347,
Schwartz, N.L., 10, 248, 253, 359, 360, 420, 447
289, 303, 447 Shtub, A., 449
Schwodiauer, G., 476 Siebert, H., 472
second-order differential equa- Silva, G.N., 324, 472
tions, 359 Simaan, M., 472
second-order variations, 388, 405 Simon, H.A., 153, 404, 443, 472
Segers, R., 430 Simon, L.S., 443
Seidman, T.I., 315, 466 simple cash balance problem,
Seierstad, A., 10, 27, 45, 58, 62, 120
64, 81, 99, 113, 289, 466 simplest variational problem,
Selten, R., 308, 466 379
Sen, S.K., 428, 447 Singh, M.G., 468, 472
Sengupta, J.K., 477 singular arcs, 407
separation principle, 403, 404 singular control, 42, 132, 140,
Sethi, S.P., 10, 26, 27, 45, 58, 297, 407
62, 89, 99,100,105, 106, Skiba, A.K., 472
108, 113, 115, 119, 129, Skorohod, A.V., 344, 353, 437
130, 150, 153, 154, 173, Smith, B.L.R., 444
174, 182, 185, 190, 194- Smith, M., 445
196, 202, 206, 213-215, Smith, R.L., 182, 419
236, 239, 241, 247, 254, Smith, V.K., 447
259, 264, 270, 271, 276, Smith, V.L., 472
278, 279, 295, 298, 303, Snower, D.J., 472
304, 311, 315, 317, 322, sole owner fishery resource
337, 340, 347, 351, 352, model, 268
354, 357-360, 420-423, Soliman, M.A., 304, 475
425, 427-429, 433, 441, Solow, R.M., 279, 472, 473
442, 445, 447, 449, 450, Soner, H.M., 360, 434, 450
453, 461-464, 466-471, Sorenson, H., 341, 473
496 Index

Sorger, G., viii, 10, 182, 254, stochastic advertising problem,

289, 308, 315, 423, 425, 352
430, 433, 434, 453, 469, stochastic calculus, 347
473 stochastic differential equations,
Sothmann, B., 459 339, 344
Southwick, L., 303, 473 stochastic manufacturing prob-
special topics, 401 lems, 360
Spence, M., 299, 448, 473 stochastic optimal control, 339,
Speyer, J.L., 108, 444 345, 346
Spiegel, M.R., 375, 473 stochastic production planning
Spremarm, K., 473 model, 347
Sprzeuzkouski, A.Y., 154, 473 stockout cost, 5
Spulber, P.F., 452, 457 Stoer, J., 422, 474
Srinivasan, V., 186, 473 stopping time, 357
Sriskandarajah, C , viii Stoppler, S., 10, 154, 429, 474
Staats, P.W., 295, 469 Strauss, A., 454
Stalford, H., 473 Streitferdt, L., 466
strengthened Jacobi condition,
standard adjoint variables, 65
389
standard Hamiltonian, 65
strengthened Legendre condi-
standard Lagrangian, 65
tion, 389
standard multipliers, 65
strengthened Legendre-Clebsch
Starr, A.W., 308, 311, 473
condition, 406
starting correction, 158
strictly concave function, 18, 64
state equation, 24 strictly convex function, 64
state trajectory, 2, 24 strong forecast horizon, 174,
state variable, 2, 24 177, 179
static efficiency condition, 291 strong maximum, 389, 390
stationarity assumption, 81 sufficiency conditions, 44, 46, 64,
Stein, R.B., 459 113, 228
Steinberg, R., 431 sufficiency transversality condi-
Steindl, A., 453, 473 tion, 159
Steiner, P.O., 430 summary of transversality con-
Stepan, A., 473 ditions, 75
Stern, L.E., 473 Suo, W., viii, 462, 469, 470
Stiglitz, J.E., 474 surveys of appfications, 10
Stirling numbers of the first Sutinen, J.G., 428, 452
kind, 378 Swan, G.W., 295, 474
StirUng numbers of the second Sweeney, D.J., 417, 474
kind, 376 switching curves, 78
Index 497

switching point, 138 Tintner, G., 477

switching time, 80 TitU, A., 472
Sydsaeter, K., 10, 27, 45, 58, 62, Tolwinski, B., 308, 442, 477
64, 81, 99,113, 289, 466, total contribution, 35
474 Tou, J.T., 341, 404, 446
synthesis of optimal controls, 76, Toussaint, S., 477
133 TPBVP, 33, 48, 50, 182, 291
system, 2 Tracz, G.S., 477
system noise, 340 Tragler, G., 477
Szego, G.P., 472 transition matrix, 396
transversality condition, 32, 62,
Takayama, A., 36, 289, 431, 474 67, 69, 75, 81
Taksar, M.I., 449, 450, 469, 470 Treadway, A.B., 303, 477
Tan, K.C., 474 Troch, I., 477
Tapiero, C.S., 10, 254, 264, 304, Tsurumi, H., 214, 477
322, 360, 420, 470, 474, Tsurumi, Y., 214, 477
475 Tu, P.N.V., 10, 303, 477
Taylor, J.G., 108, 304, 475 Tuominen, M.P.T., 452
Teichroew, D., 10, 427 Turner, R.E., 185, 477
Teng, J.-T., 182, 475, 476 Turnovsky, S.J., 435, 452, 462,
Teo, K.L., 108, 445, 476 477
Terborgh, G., 241, 476 turnpike, 82, 158, 189, 207
terminal conditions, 32, 69 two person zero-sum games, 308
terminal inequality constraints, two-point bovmdary value prob-
59 lem, 33, 48, 372
terminal time, 4, 25, 62 two-reservoir system, 116
Thepot, J., 304, 451, 476 Tzafestas, S.G., 322, 432, 477
Thisse, J., 444
Thompson's maintenance Udayabhanu, V., 470
model, 331 Uhler, R.S., 478
Thompson, G.L., 45, 119, 153, utility of consiunption, 7, 289,
165, 174, 182, 234, 241, 290, 355
249, 259, 264, 304, 311,
315, 317, 322, 331, 337, Vaisanen, U., 273, 274, 448
347, 351, 418, 428, 429, Valentine, F.A., 10, 478
436, 444, 449, 470, 475, value function, 27, 346
476 Van Hilten, O., 10, 289, 478
Tihomirov, V.M., 444 Van Loon, P.J.J.M., 10, 289, 478
time-optimal control problem, Vanthienen, L., 174, 478
76 Varaiya, P.P., 304, 308, 450, 478
498 Index

variational equations, 395 Weinstein, M.C., 279, 479

Veinott, A.F., 418 Weitz, B., 463
Venezia, I., 475 Weizsacker, C.C. von, 479
Verheyen, P.A., 304, 478 Welam, U.P., 479
Verma, B., 445 WeU, K.H., 438
Vickson, R.G., 26, 27, 58, 62, 99, Wensley, R., 463
100, 105, 106, 108, 113, Westphal, L.C., 479
115, 154, 280, 420, 435, wheat trading model with no
442, 460, 478, 480 short-selling, 170
Vidal, R.V.V., 458 Whitin, T.M., 153, 254, 479
Vidale, M.L., 186, 194, 195, 478 Whittle, P., 479
Vidale-Wolfe advertising model, Wickwire, K., 10, 295, 479
194, 353 Wiegand, M., 118, 455
Vilcassim, N.J., 315, 426 Wiener process, 344, 346, 356
Villas-Boas, J.M., 478 Wiener, N., 479
Vincent, T.L., 267, 437 Wind, Y., 430, 447, 454, 475
Vinokurov, V.R., 478 Wirl, F., 434, 480
Vinter, R.B., 103, 108, 324, 434, Wolfe, H.B., 186, 194, 195, 478
463, 472, 478 Wong, K.H., 108, 476
Voelker, J.A., 241, 461 Wonham, W.M., 480
Vousden, N., 303, 452, 479 Wright, C , 303, 480
Wright, S.J., 236, 480
Wagner, H.M., 153, 254, 479 Wunderlich, H.J., 479
Wagner-Whitin framework, 258
Wagner-Whitin solution, 262 Yakowitz, S.J., 236, 458
Wan, F.Y., 473 Yan, H., viii, 469, 480
Wan, Jr., H.Y., 427 Yang, J., 480
Wang, C.-S., 304, 431 Yang, T.H., 108, 462
Wang, P.K.C., 479 Yeh, D., viii
warehousing constraint, 175 Yin, G., 360, 462, 468, 470, 471,
Warga, J., 479 480
Warnecke, H.J., 479 Young, L.C., 379, 399, 480
Warschat, J., 479
weak forecast horizon, 174, 175 Zaccour, G., 154, 446
weak maximum, 389 Zalkin, J.H., 461
Weierstrass, 9 Zarrop, M.B., 443
Weierstrass necessary condition, Zeckhauser, R.J., 279, 299, 448,
389, 391 479
Weierstrass-Erdmann corner Zeidan, V., 480
conditions, 388 Zemel, E., 457
Index 499

Zhang, H., viii, 462, 463, 470,

471
Zhang, Q., viii, 340, 360, 453,
462, 463, 468, 470, 471,
480
Zhou, X., 466, 471, 480
Ziemba, W.T., 469, 480
Zimin, I.N., 304, 480
Ziolko, M., 480
Zionts, S., 303, 471, 473
Zoltners, A.A., 445, 481
Zowe, J., 103, 450
Zuckermann, D., 475
List of Figures

1.1 The Brachistochrone Problem 9

1.2 A Concave Function 18
1.3 An Illustration of a Saddle Point 19

2.1 An Optimal Path in the State-Time Space 28

2.2 Optimal State and Adjoint Trajectories for Example 2.1 . 38
2.3 Optimal State and Adjoint Trajectories for Example 2.2 . 39
2.4 Optimal Trajectories for Examples 2.3 and 2.4 41
2.5 Optimal Control for Example 2.5 44
2.6 Solution of TPBVP by EXCEL 50
2.7 Water Reservoir of Example 2.12 53

3.1 State and Adjoint Trajectories in Example 3.3 73

3.2 Minimum Time Optimal Response for Problem (3.63) . . 79

4.1 State and Adjoint Trajectories in Example 4.1 102

4.2 Infeasible State Space and Optimal State Trajectory
for Example 4.3 109
4.3 Adjoint Trajectory for Example 4.3 Ill
4.4 Two-Reservoir System of Exercise 4.6 116

5.1 Optimal Policy Shown in (Ai, A2) Space 123

5.2 Optimal Policy Shown in (^, A2/A1) Space 124
5.3 Adjoint Variables and Lagrange Multipliers for
Example 5.1 128
5.4 Case A: g<r 133
5.5 Case A: g > r 134
5.6 Optimal Path for Case A: g <r 139
5.7 Optimal Path for Case B: g > r 143
5.8 Solution for Exercise 5.10 150
5.9 Adjoint Trajectories for Exercise 5.11 151
502 List of Figures

6.1
Optimal Production and Inventory Levels 161
Solution of Example 6.1 with IQ = 10
6.2 163
Solution of Example 6.1 with IQ = 50
6.3 164
6.4
Solution of Example 6.1 with Io=^30 165
6.5
The Price Trajectory (6.49) 168
6.6
Adjoint Variable, Optimal Policy and Inventory in the
Wheat Trading Model 169
6.7 Adjoint Trajectory and Optimal Policy for the Wheat
Trading Model 173
6.8 Decision Horizon and Optimal Policy for the Wheat
Trading Model 175
6.9 Optimal Policy and Horizons for the Wheat Trading
Model with Warehouse Constraint 177
6.10 Optimal Policy and Horizons for Example 6.3 179
6.11 Optimal Policy and Horizons for Example 6.4 180
6.12 The Flow Chart for Exercise 6.9 183

7.1 Optimal Policies in the Nerlove-Arrow Model 189

7.2 A Case of a Time-Dependent Turnpike and the Nature
of Optimal Control 190
7.3 Phase Diagram of System (7.18) for Problem (7.13) . . . . 192
7.4 Feasible Arcs in (^, a;)-Space 197
7.5 Optimal Trajectory for Case 1: XQ < x^ and x^ > XT - - • 200
7.6 Optimal Trajectory for Case 2: XQ < x^ and x^ < XT - - - 200
7.7 Optimal Trajectory for Case 3: XQ > x^ and x^ > XT - - - 201
7.8 Optimal Trajectory for Case 4: XQ > x^ and x^ < XT • • - 201
7.9 Optimal Trajectory (Solid Lines) 202
7.10 Optimal Trajectory When T Is Small in Case 1: XQ < x^
8indxT<x^ 203
7.11 Optimal Trajectory When T Is Small in Case 2: XQ > x^
andxT<x' 203
7.12 Optimal Trajectory for Case 2 of Theorem 7.1 for Q = oo 204
7.13 Optimal Trajectories for x{0) <x 208
7.14 Optimal Trajectory for x(0) >x 209

8.1 Shortest Distance from a Point to a Semi-Circle 224

8.2 Graph of Example 8.5 224
8.3 Kuhn-Tucker Constraint Qualification 226
8.4 Discrete-Time Conventions 229
8.5 Sketch of x^ and A^ 233
List of Figures 503

9.1 Optimal Maintenance and Machine Resale Value 247

9.2 Sat Function Optimal Control 249

10.1 Optimal Policy for the Sole Owner Fishery Model 271
10.2 Singular Usable Timber Volume x{t) 275
10.3 Optimal Policy for the Forest Thinning Model when
XQ < x{to) 276
10.4 Optimal Policy for the Chain of Forests Model when
T>i 277
10.5 Optimal Policy for the Chain of Forests Model when
T<i 279
10.6 The Demand Function 281
10.7 The Profit Function 282
10.8 Optimal Price Trajectory for T > f 285
10.9 Optimal Price Trajectory for T < f 285

11.1 Phase Diagram for the Optimal Growth Model 293

11.2 Optimal Trajectory when XT > x^ 298
11.3 Optimal Trajectory when XT <x^ 298
11.4 Food Output Function 300
11.5 Phase Diagram for the Pollution Control Model 302

12.1 Region D with Boundaries Fi and r2 316

12.2 A Partition of Region D 320
12.3 Solution of Equation 12.52 323
12.4 Boundary of No-Drilling Region 328
12.5 Drilling Time 329
12.6 Value o f - Q + A ( t + ) [ l - x ( t ) ] 330
12.7 Optimal Maintenance Policy 333
12.8 Replacement Time ti and Maintenance Policy 335
12.9 The Case ^ 1 - ^ 2 336

13.1 Autocorrelation Function for a Scalar Process 343

13.2 A Sample Path of Xt with Xo = a;o > 0 and 5 > 0 . . . . 352

B.l Examples of Admissible Functions for the Problem . . . . 380

B.2 Variation about the Solution Function 381
B.3 A Broken Extremal with Corner at r 387
504 List of Figures

C.l Needle-Shaped Variation 394

C.2 Trajectories x*{t) and x{t) in a One-Dimensional Case. . . 394
List of Tables

1.1 The Product ion-Inventory Model of Example 1.1 4

1.2 The Advertising Model of Example 1.2 6
1.3 The Consumption Model of Example 1.3 8

3.1 Summary of the Transversality Conditions 75

3.2 State Trajectories and Switching Curves 78
3.3 Objective, State, and Adjoint Equations for Various
Model Types 85

5.1 Characterization of Optimal Controls 135

A.l Examples of Homogeneous Equations of Order Two . . . 364

A.2 General Solution Forms for Second-Order Linear
Homogeneous Equations, Constant Coefficients 365
A.3 Examples of Homogeneous E]quations of Order n 366
A.4 General Solution Forms for Multiple Roots of Auxiliary
Equation 366
A.5 Particular Solution Forms for Various Forcing Functions . 367
A.6 Particular Integrals in Specific Examples 368
A.7 General Solution Forms for Some Homogeneous Partial
Differential Equations 374