Methods for finding admissible solutions in optimal control problems

Existence theories for optimal control problems involving ordinary differential equations (49J15) Numerical methods based on necessary conditions (49M05) Discrete approximations in optimal control (49M25)

Review text

The paper contains a quantitative analysis of the Pontryagin's maximum principle basing on the selected model of a typical bank. It is suggested a method for constructing an admissible control by reducing the dimension of the boundary value problem to a one-parameter family. If the required quality criterion (functional) is monotone, then the presented approach yields the general qualitative form of the optimal trajectory. That permits one to perform multiple runs for the creation of sub-optimal trajectories of the optimal problem solution. A use of the maximum principle enables to state whether the solution thus obtained is optimal. The paper provides any practical tool for a use of informatical means.

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Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank

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