TY - CHAP

T1 - Controlling a Bank Model Economy by Using an Adaptive Model Predictive Control with Help of an Extended Kalman Filter

AU - Samson, Helge R.

AU - Mercorelli, Paolo

N1 - Conference code: 21

PY - 2020/10/27

Y1 - 2020/10/27

N2 - 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.

AB - 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.

KW - Adaptive Model Predicitive Control

KW - Bank System Model

KW - Extended Kalman Filter

KW - Simulation

KW - Engineering

UR - http://www.scopus.com/inward/record.url?scp=85098005883&partnerID=8YFLogxK

U2 - 10.1109/ICCC49264.2020.9257221

DO - 10.1109/ICCC49264.2020.9257221

M3 - Article in conference proceedings

AN - SCOPUS:85098005883

SN - 978-1-7281-1952-6

BT - Proceedings of the 2020 21st International Carpathian Control Conference (ICCC)

A2 - Petráš , Ivo

A2 - Kačur, Ján

PB - IEEE - Institute of Electrical and Electronics Engineers Inc.

CY - Piscataway

T2 - 21st IEEE International Carpathian Control Conference - ICCC 2020

Y2 - 27 October 2020 through 29 October 2020

ER -