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9780486488561

Dynamic Optimization, Second Edition The Calculus of Variations and Optimal Control in Economics and Management

by ;
  • ISBN13:

    9780486488561

  • ISBN10:

    048648856X

  • Edition: 2nd
  • Format: Paperback
  • Copyright: 2012-11-21
  • Publisher: Dover Publications

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Summary

An excellent financial research tool, this celebrated classic focuses on the methods of solving continuous time problems. The two-part treatment covers the calculus of variations and optimal control. In the decades since its initial publication, this text has defined dynamic optimization courses taught to economics and management science students. 1998 edition.

Author Biography

Morton I. Kamien (1938–2011) helped to build Northwestern University's Kellogg School of Business, where he served as Associate Dean for Academic Affairs and directed the Heizer Center for Entrepreneurial Studies for nearly 20 years.
Nancy L. Schwartz was the Morrison Professor of Decision Sciences, where in 1970 she was the Kellogg School's first woman faculty member appointed to an endowed chair. She chaired the Department of Managerial Economics and Decision Sciences and served as Director of the school's doctoral program until her death in 1981.

Table of Contents

Preface to the Fourth Printingp. xi
Preface to the Second Editionp. xiii
Preface to the First Editionp. xv
Calculus of Variations
Introductionp. 3
Example Solvedp. 12
Simplest Problem-Euler Equationp. 14
Examples and Interpretationsp. 21
Solving the Euler Equation in Special Casesp. 30
Second Order Conditionsp. 41
Isoperimetric Problemp. 47
Free End Valuep. 52
Free Horizon-Transversality Conditionsp. 57
Equality Constrained Endpointp. 65
Salvage Valuep. 71
Inequality Constraint Endpoints and Sensitivity Analysisp. 77
Cornersp. 86
Inequality Constraints in (t, x)p. 90
Infinite Horizon Autonomous Problemsp. 95
Most Rapid Approach Pathsp. 97
Diagrammatic Analysisp. 102
Several Functions and Double Integralsp. 112
Optimal Control
Introductionp. 121
Simplest Problem-Necessary Conditionsp. 124
Sufficiencyp. 133
Interpretationsp. 136
Several Variablesp. 142
Fixed Endpoint Problemsp. 147
Various Endpoint Conditionsp. 155
Discounting, Current Values, Comparative Dynamicsp. 164
Equilibria in Infinite Horizon Autonomous Problemsp. 174
Bounded Controlsp. 185
Further Control Constraintp. 195
Discontinuous and Bang-Bang Controlp. 202
Singular Solutions and Most Rapid Approach Pathsp. 209
The Pontryagin Maximum Principle, Existencep. 218
Further Sufficiency Theoremsp. 221
Alternative Formulationsp. 227
State Variable Inequality Constraintsp. 230
Jumps in the State Variable, Switches in State Equationsp. 240
Delayed Responsep. 248
Optimal Control with Integral State Equationsp. 253
Dynamic Programmingp. 259
Stochastic Optimal Controlp. 264
Differential Gamesp. 272
Calculus and Nonlinear Programming
Calculus Techniquesp. 291
Mean-Value Theoremsp. 294
Concave and Convex Functionsp. 298
Maxima and Minimap. 303
Equality Constrained Optimizationp. 307
Inequality Constrained Optimizationp. 313
Line Integrals and Green's Theoremp. 320
Differential Equations
Introductionp. 325
Linear First Order Differential Equationsp. 328
Linear Second Order Differential Equationsp. 332
Linear nth Order Differential Equationsp. 339
A Pair of Linear Equationsp. 344
Existence and Uniqueness of Solutionsp. 350
Referencesp. 353
Author Indexp. 367
Subject Indexp. 371
Table of Contents provided by Ingram. All Rights Reserved.

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