Ідентифікація параметрів моделей динаміки активів
The problem of identification of parameters of mathematical models of dynamic processes is considered that can be described by ordinary differential equations and systems of such equations. Using an example of mathematical models of dynamic formation of the market value per share and stock portfolio...
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| Date: | 2015 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | Ukrainian |
| Published: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2015
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| Online Access: | http://journal.iasa.kpi.ua/article/view/40398 |
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| Journal Title: | System research and information technologies |
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System research and information technologies| Summary: | The problem of identification of parameters of mathematical models of dynamic processes is considered that can be described by ordinary differential equations and systems of such equations. Using an example of mathematical models of dynamic formation of the market value per share and stock portfolio, algorithms were developed for constructing the optimal values of parameters of such models. The algorithms for parametric identification and optimization are based on iterative procedures that allow, at each step, to obtain "the best" values of model’s parameters based on selected quality criteria. Guaranteed parameters’ estimations are built in the class of ellipsoidal sets that allows to obtain the guaranteed financial performance of investment operations using the mathematical problems of the financial analysis as an example. |
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