Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization

Authors:
V. V. Dombrovskii;T. Yu. Ob"Edko
Affiliations:
Tomsk State University, Tomsk, Russia;Tomsk State University, Tomsk, Russia
Venue:
Automation and Remote Control
Year:
2011

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Abstract

In the paper, we study a problem of control with a predictive model for discrete systems with Markovian jumps and multiplicative noises. A strategy to control with regard for explicit constraints on control variables is defined. The results are applied to control an investment portfolio under constraints on investment amounts.