Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises-Reference-Cited by-同舟云学术

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Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises

Published:2018-02-28 Issue:6 Volume:49 Page:1178-1187
ISSN:0020-7721
Container-title:International Journal of Systems Science
language:en
Short-container-title:International Journal of Systems Science

Author:

Barbieri Fabio¹^ORCID,Costa Oswaldo L. V.¹^ORCID

Affiliation:

1. Escola Politécnica, Universidade de São Paulo, São Paulo, Brazil

Funder

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Brazilian National Research Council – CNPq

São Paulo Research Foundation

INCT (National Institute of Science and Technology)

Publisher

Informa UK Limited

Subject

Computer Science Applications,Theoretical Computer Science,Control and Systems Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207721.2018.1441469

Reference27 articles.

1. Portfolio optimization in stochastic markets

2. Multi-period portfolio optimization with linear control policies

3. Portfolio selection in stochastic markets with HARA utility functions

4. Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach

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1. Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems;Journal of the Franklin Institute;2021-11

2. Observer-Based Adaptive Neural Output Feedback Constraint Controller Design for Switched Systems Under Average Dwell Time;IEEE Transactions on Circuits and Systems I: Regular Papers;2021-09

3. A novel non-uniform optimal control approach for hypersonic cruise vehicle with waypoint and no-fly zone constraints;International Journal of Systems Science;2021-03-09

4. Mean‐field formulation for the infinite‐horizon mean–variance control of discrete‐time linear systems with multiplicative noises;IET Control Theory & Applications;2020-10-07

5. Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance;International Journal of Systems Science;2020-09-04

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