HUANG Xiao-yuan, ZHONG Mai-ying. H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENTJ. INFORMATION AND CONTROL, 1999, 28(6): 475-478.
Citation:
HUANG Xiao-yuan, ZHONG Mai-ying. H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENTJ. INFORMATION AND CONTROL, 1999, 28(6): 475-478.
HUANG Xiao-yuan, ZHONG Mai-ying. H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENTJ. INFORMATION AND CONTROL, 1999, 28(6): 475-478.
Citation:
HUANG Xiao-yuan, ZHONG Mai-ying. H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENTJ. INFORMATION AND CONTROL, 1999, 28(6): 475-478.
H∞ CONTROL WITH INEQUALITY CONSTRAINT AND ITS APPLICATION TO PORTFOLIO INVESTMENT
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.
DownLoad: