Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization

被引：21
|
作者：
Dombrovskii, V. V. [1 ]
Ob''edko, T. Yu [1 ]
机构：
[1] Tomsk State Univ, Tomsk 634050, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2011年 / 72卷 / 05期
关键词：
Remote Control; Model Predictive Control; Multiplicative Noise; Investment Portfolio; Markovian Jump;
D O I：
10.1134/S0005117911050079
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In the paper, we study a problem of control with a predictive model for discrete systems with Markovian jumps and multiplicative noises. A strategy to control with regard for explicit constraints on control variables is defined. The results are applied to control an investment portfolio under constraints on investment amounts.
引用
收藏
页码：989 / 1003
页数：15
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