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

DOI10.1023/A:1026057305653zbMath1061.93097OpenAlexW1567860938MaRDI QIDQ1779092

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

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

Related Items (9)

Anisotropy-based bounded real lemma for discrete-time systems with multiplicative noise ⋮ Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise ⋮ Lemma on boundedness of anisotropic norm for systems with multiplicative noises under a noncentered disturbance ⋮ Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems ⋮ Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization ⋮ Anisotropy-based filtering for linear discrete time-varying systems with multiplicative noises on a finite horizon ⋮ Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises

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