具有一阶马尔可夫相关参数的养老基金模型的随机控制

IF 2 4区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

Optimal Control Applications & Methods Pub Date : 2007-10-29 DOI:10.1002/OCA.4660020206

M. Parlar

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引用次数: 0

摘要

将具有独立参数和二次目标泛函的随机离散线性系统的最优控制问题推广到系统参数构成一阶马尔可夫链的情况。通过随机动态规划原理得到了这个更一般问题的解，并解释了最优控制的“双反馈”性质。将所得结果应用于一个25期随机养老基金问题的求解，该问题假设市场收益构成一阶马尔可夫链。

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Stochastic control of a pension fund model with first‐order Markov‐dependent parameters

The well known problem of the optimal control of a stochastic discrete linear system with independent parameters and with a quadratic objective functional is generalized to the case where the parameters of the system constitute a first-order Markov chain. The solution to this more general problem is obtained by the principles of stochastic dynamic programming, and the ‘bi-feedback’ nature of the optimal controls is explained. The results are applied to the solution of a 25-period stochastic pension funding problem where it is assumed that the market returns constitute a first-order Markov chain.

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来源期刊

Optimal Control Applications & Methods 工程技术-应用数学

CiteScore

3.90

自引率

11.10%

发文量

108

审稿时长

3 months

期刊介绍： Optimal Control Applications & Methods provides a forum for papers on the full range of optimal and optimization based control theory and related control design methods. The aim is to encourage new developments in control theory and design methodologies that will lead to real advances in control applications. Papers are also encouraged on the development, comparison and testing of computational algorithms for solving optimal control and optimization problems. The scope also includes papers on optimal estimation and filtering methods which have control related applications. Finally, it will provide a focus for interesting optimal control design studies and report real applications experience covering problems in implementation and robustness.