Use model predictive control (MPC) to formulate an approximation to the GP
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Use model predictive control (MPC) to formulate an approximation to the GP

3. Model Predictive Control Meets Gârleanu and Pedersen.

For this question, we consider a finite horizon version of the Gârleanu and Pedersen (GP) problem discussed in class with p= 0 and T time steps.

(a) Use model predictive control (MPC) to formulate an approximation to the GP problem.

(b) Modify the formulation in (a) to (i) only allow for long-only holdings and (ii) replace the quadratic impact model with the Almgren et al. impact model.

(c) Does (b) have a unique solution? Why or why not?

Hint
Accounts & Finance Model Predictive Control (MBPC) is the control methodology that uses on-line (=in the control computer) a process model for calculating estimates of the upcoming plant output and for enhancing future control actions....
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