Fuzzy Optimal Control with Application to Portfolio Selection
نویسنده
چکیده
Optimal control is a very important field of study not only in theory but in applications, and stochastic optimal control is also a significant branch of research in theory and applications. Based on the concept of fuzzy process introduced by Liu, we present a fuzzy optimal control problem. Applying Bellman’s optimal principle, we obtain the principle of optimality for fuzzy optimal control, and then give a fundamental result called the equation of optimality in fuzzy optimal control. Finally, as application, we use equation of optimality to solve a portfolio selection problem.
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