Robust control of linear systems with random parameters and multiplicative disturbances with application to the investment portfolio management

This work examines discrete-time systems with additive and multiplicative noises and stochastic parameters. The equations of optimal linear quadratic static and dynamic output-feedback regulators for such systems are obtained. The regulators are robust with respect to a kind of distribution of random parameters. The results are applied to the investment portfolio management. The numerical simulation results are presented.