| Full text | |
| Author(s): |
Total Authors: 2
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| Affiliation: | [1] Univ Sao Paulo, Escola Politecn, Dept Engn Telecomunicacoes & Controle, BR-05508010 Sao Paulo - Brazil
Total Affiliations: 1
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| Document type: | Journal article |
| Source: | IET Control Theory and Applications; v. 14, n. 17, p. 2600-2612, NOV 26 2020. |
| Web of Science Citations: | 0 |
| Abstract | |
This study considers the infinite-horizon stochastic optimal control of a discounted and long-run average costs under a mean-variance trade-off performance criterion for discrete-time linear systems subject to multiplicative noises. The authors adopt a mean-field approach to tackle the problem and get an optimal control solution in terms of a set of two generalised coupled algebraic Riccati equations (GCAREs). Then, they establish sufficient conditions for the existence of the maximal solution and necessary and sufficient conditions for the existence of the mean-square stabilising solution to the GCARE. From this solution, they derive optimal control policies to the related discounted and long-run average cost problems. A numerical example illustrates the obtained results for the multi-period portfolio selection problem in which it is desired to minimise the sum of the mean-variance trade-off costs of a portfolio against a benchmark along the time. (AU) | |
| FAPESP's process: | 14/50851-0 - INCT 2014: National Institute of Science and Technology for Cooperative Autonomous Systems Applied in Security and Environment |
| Grantee: | Marco Henrique Terra |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 14/50279-4 - Brasil Research Centre for Gas Innovation |
| Grantee: | Julio Romano Meneghini |
| Support Opportunities: | Research Grants - Research Centers in Engineering Program |