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Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization

  • Stochastic Systems
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Abstract

For the discrete systems with random parameters perturbed by additive and multiplicative noise depending on the states and controls, design of the predictive model-based control strategies was considered. Predictive control strategies of closed-loop and open-loop types were developed. The results obtained were applied to dynamic optimization of the investment portfolio under constrained volumes of trade operations.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

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

Authors
  1. V. V. Dombrovskii
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  2. D. V. Dombrovskii
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  3. E. A. Lyashenko
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Additional information

Translated from Avtomatika i Telemekhanika, No. 4, 2005, pp. 84–97.

Original Russian Text Copyright © 2005 by V. Dombrovskii, D. Dombrovskii, Lyashenko.

This paper was recommended for publication by A.I. Kibzun, a member of the Editorial Board

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Dombrovskii, V.V., Dombrovskii, D.V. & Lyashenko, E.A. Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization. Autom Remote Control 66, 583–595 (2005). https://doi.org/10.1007/s10513-005-0102-5

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  • DOI: https://doi.org/10.1007/s10513-005-0102-5

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