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

  • Stochastic Systems, Queueing Systems
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Abstract

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.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

    V. V. Dombrovskii & T. Yu. Ob”edko

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  1. V. V. Dombrovskii
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  2. T. Yu. Ob”edko
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Original Russian Text © V.V. Dombrovskii, T.Yu. Ob”edko, 2011, published in Avtomatika i Telemekhanika, 2011, No. 5, pp. 96–112.

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Dombrovskii, V.V., Ob”edko, T.Y. Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization. Autom Remote Control 72, 989–1003 (2011). https://doi.org/10.1134/S0005117911050079

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