Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization

For the discrete systems with random parameters perturbed by additive and multiplicative noise depending on the states and controls, design of the predictive model-based control strategies was considered. Predictive control strategies of closed-loop and open-loop types were developed. The results obtained were applied to dynamic optimization of the investment portfolio under constrained volumes of trade operations.

Presented by the member of Editorial Board: A. I. Kibzun