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Avtomatika i Telemekhanika, 2006, Issue 12, Pages 71–85
(Mi at1253)
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This article is cited in 23 scientific papers (total in 23 papers)
Stochastic Systems
Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko Tomsk State University
Abstract:
The problem of model predictive control for discrete systems with random dependent parameters is considered. The dynamics of parameters' vector is described by the difference stochastic equation. The control strategy is determined with regard to explicit constraints on control variables. The results are applied to the investment portfolio control under constraints on the volumes of assets.
Citation:
V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko, “Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization”, Avtomat. i Telemekh., 2006, no. 12, 71–85; Autom. Remote Control, 67:12 (2006), 1927–1939
Linking options:
https://www.mathnet.ru/eng/at1253 https://www.mathnet.ru/eng/at/y2006/i12/p71
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Statistics & downloads: |
Abstract page: | 510 | Full-text PDF : | 161 | References: | 39 | First page: | 1 |
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