A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

Author:

Primbs James A.,Sung Chang Hwan

Publisher

Springer Science and Business Media LLC

Subject

Finance

Reference29 articles.

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2. Batina, I., Stoorvogel, A. A., & Weiland, S. (2002). Model predicitive control of linear, stochastic systems with state and input constraints. In Proceedings of Conference on Decision and Control (pp. 1564–1569). Las Vegas, Nevada.

3. Beasley J.E., Meade N., Chang T.-J. (2003) An Evolutionary Heuristic for the Index Tracking Problem. European Journal of Operational Research 148(3): 621–643

4. Birge, J. R., & Louveaux, F. (1997). Introduction to Stochastic Programming. Springer Verlag.

5. Cannon M., Kouvaritakis B., Tsachouridis V. (2004) Recent developments in stochastic MPC and sustainable development. Annual Reviews in Control 28: 23–35

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