Controlling a Bank Model Economy by Using an Adaptive Model Predictive Control with Help of an Extended Kalman Filter

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.