Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming

SIAM Review ◽  
2004 ◽  
Vol 46 (1) ◽  
pp. 87-111 ◽  
Author(s):  
David D. Yao ◽  
Shuzhong Zhang ◽  
Xun Yu Zhou
Keyword(s):  
Semidefinite Programming ◽  
Linear Quadratic Control ◽  
Linear Quadratic ◽  
Primal Dual

scholarly journals Use of semidefinite programming for solving the LQR problem subject to rectangular descriptor systems

2010 ◽  
Vol 20 (4) ◽  
pp. 655-664 ◽  
Author(s):  
Keyword(s):  
Semidefinite Programming ◽  
Linear Quadratic Regulator ◽  
Descriptor Systems ◽  
Programming Approach ◽  
State Control ◽  
Linear Quadratic ◽  
Control Pair ◽  
Elegant Method ◽  
Lqr Problem ◽  
Primal Dual

Use of semidefinite programming for solving the LQR problem subject to rectangular descriptor systemsThis paper deals with the Linear Quadratic Regulator (LQR) problem subject to descriptor systems for which the semidefinite programming approach is used as a solution. We propose a new sufficient condition in terms of primal dual semidefinite programming for the existence of the optimal state-control pair of the problem considered. The results show that semidefinite programming is an elegant method to solve the problem under consideration. Numerical examples are given to illustrate the results.

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