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The Center for Control, Dynamical Systems, and Computation University of California at Santa Barbara
 

Summary: The Center for Control, Dynamical Systems, and Computation
University of California at Santa Barbara
Winter 2007 Seminar Series
Presents
Stochastic Receding Horizon Control of
Constrained Linear Systems with State and
Control Multiplicative Noise
Jim Primbs
Stanford University
Friday, January 12th, 2007 3:00pm-4:00pm ESB 2001
Abstract:
We develop a receding horizon control approach to stochastic linear systems with
control and state multiplicative noise that also contain linear and quadratic expectation
constraints. Our receding horizon formulation is based upon an on-line optimization
that utilizes open-loop plus linear feedback and is solved as a semi-definite program-
ming problem. We also provide stability, performance, and constraint satisfaction
results for the receding horizon controlled system under a specific choice of terminal
weight and terminal constraint. This problem has direct applications to problems of
portfolio optimization in financial engineering.
About the Speaker:

  

Source: Akhmedov, Azer - Department of Mathematics, University of California at Santa Barbara

 

Collections: Mathematics