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

Automation and Remote Control

Volumn 66, Issue 4, 2005, Pages 583-595

  Dombrovskii, V V ^a   Dombrovskii, D V ^a   Lyashenko, E A ^a  

^a TOMSK STATE UNIVERSITY   (Russian Federation)

Author keywords

[No Author keywords available]

Indexed keywords

CLOSED LOOP CONTROL SYSTEMS; DYNAMIC PROGRAMMING; FEEDBACK CONTROL; OPTIMIZATION; PREDICTIVE CONTROL SYSTEMS; PROBABILITY;

INVESTMENT PORTFOLIO (IP); LINEAR QUADRATIC CONTROLLERS; RANDOM-PARAMETER SYSTEMS; SLIDING CONTROL;

RANDOM PROCESSES;

EID: 17444422486     PISSN: 00051179     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10513-005-0102-5     Document Type: Article

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