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Avtomatika i Telemekhanika, 2006, Issue 12, Pages 71–85 (Mi at1253)  
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
Full-text PDF (249 kB) Citations (23)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 21.02.2006
English version:
Automation and Remote Control, 2006, Volume 67, Issue 12, Pages 1927–1939
DOI: https://doi.org/10.1134/S000511790612006X
Bibliographic databases:
Document Type: Article
PACS: 07.05.Dz, 02.30.Yy, 02.50.Ey
Language: Russian
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
Citation in format AMSBIB
\Bibitem{DomDomLya06}
\by V.~V.~Dombrovskii, D.~V.~Dombrovskii, E.~A.~Lyashenko
\paper Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
\jour Avtomat. i Telemekh.
\yr 2006
\issue 12
\pages 71--85
\mathnet{http://mi.mathnet.ru/at1253}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2283318}
\zmath{https://zbmath.org/?q=an:1194.93209}
\transl
\jour Autom. Remote Control
\yr 2006
\vol 67
\issue 12
\pages 1927--1939
\crossref{https://doi.org/10.1134/S000511790612006X}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-33845642569}
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  • https://www.mathnet.ru/eng/at/y2006/i12/p71
    • This publication is cited in the following 23 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:39
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