Model predictive control for a revenue account of a cash concentration and disbursements system

摘要

This paper presents a Model Predictive Control (MPC) for a revenue account belonging to a cash concentration and disbursements system, based on the application of inventory policies to the cash balance. Dynamic Programming (DP) is used for the prediction model by including a standard forecasting model for uncertainty. Moreover, a band for the uncertainty is established to narrow the input of the DP model which, coupled with the introduction of a stabilizing regulator in cascade fashion using a linear feedback gain, allows determining a range for the system stability regardless of size of the prediction horizon. The reference signal used is a sawtooth function, which conveniently adapts to the inventory policy (s, S). Theoretically, and through simulation, it is shown that the proposed controller meets the control objective.