Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization |
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Authors: | V. V. Dombrovsky D. V. Dombrovsky E. A. Lyashenko |
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Affiliation: | (1) Tomsk State University, Tomsk, Russia |
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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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