A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization

DOI10.1023/A:1026057305653zbMATHOpenAlexMaRDI QIDQ1779092FDO

Authors V. V. Dombrovskii, E. A. Lyashenko

Publication date 31 May 2005

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1026057305653

Mathematics Subject Classification ID

Methods of successive quadratic programming type (90C55) Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited in

(13)

• Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
• The strategy of portfolio investment based on \(H_\infty\) control with state feedback
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
• Anisotropy-based filtering for linear discrete time-varying systems with multiplicative noises on a finite horizon
• Lemma on boundedness of anisotropic norm for systems with multiplicative noises under a noncentered disturbance
• Anisotropy-based bounded real lemma for discrete-time systems with multiplicative noise
• \(H_{\infty}\) constraint Pareto optimal control for discrete-time Markov jump linear stochastic systems in finite horizon
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

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