DocumentCode
416653
Title
Robust control of linear systems with random parameters and multiplicative disturbances with application to the investment portfolio management
Author
Dombrovsky, V.V. ; Lashenko, E.A.
Author_Institution
Tomsk State Univ., Russia
Volume
1
fYear
2003
fDate
4-6 Aug. 2003
Firstpage
1116
Abstract
This work examines discrete-time systems with additive and multiplicative noises and stochastic parameters. The equations of optimal linear quadratic static and dynamic output-feedback regulators for such systems are obtained. The regulators are robust with respect to a kind of distribution of random parameters. The results are applied to the investment portfolio management. The numerical simulation results are presented.
Keywords
discrete time systems; feedback; linear systems; noise; optimal control; robust control; additive noise; discrete-time systems; dynamic output-feedback regulators; investment portfolio management; linear systems; multiplicative disturbances; multiplicative noise; optimal linear quadratic static output-feedback regulators; random parameters; robust control; stochastic parameters;
fLanguage
English
Publisher
ieee
Conference_Titel
SICE 2003 Annual Conference
Conference_Location
Fukui, Japan
Print_ISBN
0-7803-8352-4
Type
conf
Filename
1323578
Link To Document