具有不等式约束的H∞控制及其在证券投资问题中的应用
H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENT
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摘要: 本文应用动态对策理论研究具有不等式约束的离散动态系统的控制问题，推导并得到了具有不等式约束的控制算法;进一步研究了在证券投资问题的应用，并进行了案例计算．Abstract: Based on dynamic game theory,this paper studied the discrete time control problem with inequality constraint,and derived its algorithm.Furthermore,this approach is applied to portfolio investment,and an illustrated example is also given.
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