Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming-Reference-Cited by-同舟云学术

Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

Published:2016-12 Issue:12 Volume:77 Page:2175-2192
ISSN:0005-1179
Container-title:Automation and Remote Control
language:en
Short-container-title:Autom Remote Control

Author:

Kibzun A. I.,Ignatov A. N.

Publisher

Pleiades Publishing Ltd

Subject

Control and Systems Engineering,Electrical and Electronic Engineering

Link

http://link.springer.com/content/pdf/10.1134/S0005117916120079.pdf

Reference19 articles.

1. Bertsekas, D.P., and Sreve, S.E., Stochastic Optimal Control, New York: Academic, 1978. Translated under the title Stokhasticheskoe optimal’noe upravlenie: sluchai diskretnogo vremeni, Moscow: Nauka, 1984.

2. Malyshev, V.V. and Kibzun, A.I., Analiz i sintez vysokotochnogo upravleniya letatel’nymi apparatami (Analysis and Design of highly-precise Control of Flight Vehicles), Moscow: Mashinostroenie, 1987.

3. Malyshev, V.V., Krasil’shchikov, M.N., Bobronnikov, V.T., et al., Sputnikovye sistemy monitoringa (Satellite Monitoring Systems), Moscow: MAI, 2000.

4. Grigor’ev, P.V. and Kan, Yu.S., Optimal Control of the Investment Portfolio with Respect to the Quantile Criterion, Autom. Remote Control, 2004, vol. 65, no. 2, pp. 319–336.

5. Kibzun, A.I. and Ignatov, A.N., The Two-step Problem of Investment Portfolio Selection from Two Risk Assets via the Probability Criterion, Autom. Remote Control, 2015, vol. 76, no. 7, pp. 1201–1220.

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