Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
Author:
Publisher
Elsevier BV
Subject
Electrical and Electronic Engineering,Control and Systems Engineering
Reference22 articles.
1. Model-predictive control of discrete hybrid stochastic automata;Bemporad;IEEE Transactions on Automatic Control,2011
2. Bemporad, A., Puglia, L., & Gabbriellini, T. (2011). A stochastic model predictive control approach to dynamic option hedging with transaction costs. In Proc. American control conference. San Francisco, CA, USA, June 29–July 01, (pp. 3862–3867).
3. Bernardini, D., & Bemporad, A. (2009). Scenario-based model predictive control of stochastic constrained linear systems. In Proceedings of the 48th IEEE conference on decision and control. Shanghai. P.R. China. December, (pp. 6333–6338).
4. Multi-period portfolio optimization with linear control policies;Calafiore;Automatica,2008
5. An affine control method for optimal dynamic asset allocation with transaction costs;Calafiore;SIAM Journal on Control and Optimization,2009
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