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Title:

An Automation-Based Extension of Multiple Model Control with an Application to Financial Markets

Document type:
Konferenzbeitrag
Contribution type:
Textbeitrag / Aufsatz
Author(s):
Kotyczka, P.; Feiler, M. J.
Pages contribution:
pp. 643-648
Chapter contribution:
Article number 7074476
Abstract:
In this paper we present an extension of the multiple model methodology by a prognosis mechanism based on learning automata. The approach aims at reducing or even cancelling the occurrence of the inherent control error, which is due to the delayed identification of the active model. We consider the case of a random environment which can be modelled as a Markov process whose state transitions are to be anticipated by the automaton. While a correct prognosis avoids the control error, a false predi...     »
Keywords:
Learning automata; Markov chains; Multiple model control; Automata theory; Commerce; Finance
Dewey Decimal Classification:
620 Ingenieurwissenschaften
Editor:
Institute of Electrical and Electronics Engineers Inc.
Book / Congress title:
Proceedings of the European Control Conference
Congress (additional information):
European Control Conference [10th, 2009, Budapest, Hungary]
Congress city:
Budapest, Hungary
Date of congress:
23.-26.8.
Year:
2009
Year / month:
2009-08
Month:
Aug
Covered by:
Web of Science
Print-ISBN:
978-395241739-3
Reviewed:
ja
Language:
en
WWW:
https://ieeexplore.ieee.org/document/7074476
TUM Institution:
Lehrstuhl für Regelungstechnik
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