The direct multiple shooting algorithm is one of the very effective methods of solving optimal control problem. Some of the optimal control problems can be solved more quickly and efficiently with the algorithm if only the control variable's values at the knots are given. Some flight dynamics optimal control problems were solved successfully with the improved algorithm. The algorithm is applied to solving the problem in optimal design of combat agility management system (CAMS) in this paper. The study results show that by adopting CAMS designed with the optimal control theory , an aircraft's turning time can be shortened by about 20%.