Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization-Reference-Cited by-同舟云学术

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

Published:2005-04 Issue:4 Volume:66 Page:583-595
ISSN:0005-1179
Container-title:Automation and Remote Control
language:en
Short-container-title:Autom Remote Control

Author:

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

Publisher

Springer Science and Business Media LLC

Subject

Control and Systems Engineering,Electrical and Electronic Engineering

Link

http://link.springer.com/content/pdf/10.1007/s10513-005-0102-5.pdf

Reference16 articles.

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3. Chernous?ko, F.L. and Kolmanovskii, V.B., Optimal?noe upravlenie pri sluchainykh vozmushcheniyakh (Optimal Control under Random Disturbances), Moscow: Nauka, 1978.

4. Bemporad, A., Borrelli, F., and Morari, M., Model Predictive Control Based on Linear Programming?The Explicit Solution, IEEE Trans. Automat. Control, 2002, vol. 47, no.12, pp. 1974?1985.

5. Seron, M.M., De Dona, J.A., and Goodwin, G.C., Global Analitical Model Predictive Control with Input Constraints, 39th IEEE Conf. Decision Control, Sydney, Australia, 2000, pp. 154?159.

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