  We introduce a new method, stepwise method for solving optimal con- trol
problems. Our first motivation for new approach emanate from limi- tations on
continuous time control functions in PMP. Practically in most of the real world
models, we are not able to change control value for every time such as in drug
dose calculation or in resourse allocation problems. But it is practical to
change control value in some time section that lead to stepwise control
function. We study some examples via classical Pontrya- gin Maximum
Principle(PMP) and via stepwise method. The new method has some other
advantages in comparison with PMP method in models with complicated cost
function or systems. In real world applications, the new method has a high
performance in implementation.
