IJPAM: Volume 107, No. 1 (2016)

APPLICATION OF CONDITIONAL GRADIENT METHOD
TO A CORPORATE FINANCING PROBLEM

B. Barysbyek$^1$, N. Tungalag$^2$, R. Enkhbat$^3$
$^{1,3}$Institute of Mathematics
National University of Mongolia
Ulaanbaatar, MONGOLIA
$^2$Business School
National University of Mongolia


Abstract. The determination of optimal financing sources is crucial in efficient and profitable corporate affairs. In this paper, we consider a model, first proposed by Davis and Elzinga [#!Davis!#], which is one of the well known and pioneering optimal control models in deterministic financial modeling. We show that the problem is nonconvex optimal control problem and did attempt to improve a result obtained in [#!Ping!#] by applying the conditional gradient algorithm starting from different initial controls.

Received: January 21, 2016

AMS Subject Classification: 49M, 49D

Key Words and Phrases: Davis-Elzinga model, global solution, conditional gradient method, optimal control

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DOI: 10.12732/ijpam.v107i1.14 How to cite this paper?

Source:
International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2016
Volume: 107
Issue: 1
Pages: 179 - 186


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