Optimal control of a dynamical system with intermediate phase constraints and applications in cash management

DOI10.3934/NACO.2021005MaRDI QIDQ2673256zbMATH OpenOpenAlexFDO

Authors Mourad Azi, Mohand Ouamer Bibi

Publication date 9 June 2022

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2021005

zbMATH Keywords

Bolza problemcash managementintermediate phase constraintslinear programmingoptimal controlsupport problem

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Linear optimal control problems (49N05) Linear programming (90C05) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Constructing open-loop and closed-loop solutions of linear-quadratic optimal control problems
• Flots d'Anosov a Distributions Stable et Instable Differentiables
• scientific article; zbMATH DE number 3167340 (Why is no real title available?)
• Optimal control theory. Applications to management science and economics
• Optimal feedback control
• Optimality and suboptimality criteria in a quadratic problem of optimal control with a piecewise linear entry

Cited in

(6)

• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• Optimal controllers for bank-to-turn CLOS guidance
• Model predictive control of cash balance in a cash concentration and disbursements system
• scientific article; zbMATH DE number 5583470 (Why is no real title available?)
• Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
• Method for solving the norm in an optimal control problem

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