Controlling a Bank Model Economy by Using an Adaptive Model Predictive Control with Help of an Extended Kalman Filter

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Authors

This paper describes a bank-customer model and proposes a control scheme algorithm which guarantees to obtain a desired capital to asset ratio. The used control system is an Adaptive Model Predictive Control (MPC). The MPC offers the possibility to control the error between capital/asset ratio and the ratio required by the bank under the Basel regulatory framework, which should converge to zero. The uncertainties of the model are estimated by an Extended Kalman Filter and the model is online adapted to realize the prediction.

Original languageEnglish
Title of host publicationProceedings of the 2020 21st International Carpathian Control Conference (ICCC) : Virtual Conference, Košice, Slovak Republic October 27 - 29, 2020
EditorsIvo Petráš , Ján Kačur
Number of pages6
Place of PublicationPiscataway
PublisherIEEE - Institute of Electrical and Electronics Engineers Inc.
Publication date27.10.2020
Article number9257221
ISBN (print)978-1-7281-1952-6
ISBN (electronic)978-1-7281-1951-9
DOIs
Publication statusPublished - 27.10.2020
Event21st IEEE International Carpathian Control Conference - ICCC 2020 - Online, Virtual, Kosice, Slovakia
Duration: 27.10.202029.10.2020
Conference number: 21
https://iccc.fberg.tuke.sk/
https://iccc.fberg.tuke.sk/

    Research areas

  • Adaptive Model Predicitive Control, Bank System Model, Extended Kalman Filter, Simulation
  • Engineering

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