An efficient algorithm for the discrete-time algebraic Riccati equation

1999 ◽  
Vol 44 (6) ◽  
pp. 1216-1220 ◽  
Author(s):  
L.-Z. Lu ◽  
W.-W. Lin ◽  
C.E.M. Pearce
Keyword(s):  
Riccati Equation ◽  
Discrete Time ◽  
Efficient Algorithm ◽  
Algebraic Riccati Equation

scholarly journals Indefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming

2012 ◽  
Vol 2012 ◽  
pp. 1-14
Author(s):  
Shaowei Zhou ◽  
Weihai Zhang
Keyword(s):  
Semidefinite Programming ◽  
Riccati Equation ◽  
Discrete Time ◽  
Time Horizon ◽  
Stochastic Systems ◽  
Positive Semidefinite ◽  
Algebraic Riccati Equation ◽  
Infinite Time ◽  
Lq Problem ◽  
Lq Control

This paper is concerned with a discrete-time indefinite stochastic LQ problem in an infinite-time horizon. A generalized stochastic algebraic Riccati equation (GSARE) that involves the Moore-Penrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinite-programming- (SDP-) based approach to study corresponding problems. Several relations among SDP complementary duality, the GSARE, and the optimality of LQ problem are established.

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