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Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization

  • Stochastic Systems
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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.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

    V. V. Dombrovsky, D. V. Dombrovsky & E. A. Lyashenko

Authors
  1. V. V. Dombrovsky
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  2. D. V. Dombrovsky
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  3. E. A. Lyashenko
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Original Russian Text © V.V. Dombrovsky, D.V. Dombrovsky, E.A. Lyashenko, 2006, published in Avtomatika i Telemekhanika, 2006, No. 12, pp. 71–85.

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Dombrovsky, V.V., Dombrovsky, D.V. & Lyashenko, E.A. Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization. Autom Remote Control 67, 1927–1939 (2006). https://doi.org/10.1134/S000511790612006X

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  • DOI: https://doi.org/10.1134/S000511790612006X

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