摘要
提出了证券组合投资的离散时间系统模型，其状态方程的扰动描述证券风险，观测方程描述证券收益。运用降阶方法推导了问题的奇异Ｈ∞控制策略，并根据复变函数理论推导了问题的解析解。
The discrete time systems model of the portfolio investment was proposed. In this model, the risk is described by the state equation disturbance, and the profit by the observer equation. The singular H∞ control of the discrete system of portfolio was deduced by means of the reduced order method. The analytic solution was given on the basis of complex function theory.
出处
《控制与决策》
EI
CSCD
北大核心
1998年第1期49-53,共5页
Control and Decision
基金
辽宁省自然科学基金
关键词
证券组合
离散时间系统
H∞控制
投资
protfolio, discrete time systems, singular H∞ control
