Controlling a Bank Model Economy by Using an Adaptive Model Predictive Control with Help of an Extended Kalman Filter
Research output: Contributions to collected editions/works › Article in conference proceedings › Research › peer-review
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Proceedings of the 2020 21st International Carpathian Control Conference (ICCC): Virtual Conference, Košice, Slovak Republic October 27 - 29, 2020 . ed. / Ivo Petráš ; Ján Kačur. Piscataway: IEEE - Institute of Electrical and Electronics Engineers Inc., 2020. 9257221.
Research output: Contributions to collected editions/works › Article in conference proceedings › Research › peer-review
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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 -