Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods
Keyword(s):
The Cost
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This paper studies a discrete-time stochastic LQ problem over an infinite time horizon with state-and control-dependent noises, whereas the weighting matrices in the cost function are allowed to be indefinite. We mainly use semidefinite programming (SDP) and its duality to treat corresponding problems. Several relations among stability, SDP complementary duality, the existence of the solution to stochastic algebraic Riccati equation (SARE), and the optimality of LQ problem are established. We can test mean square stabilizability and solve SARE via SDP by LMIs method.
2004 ◽
Vol 36
(4)
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pp. 1278-1299
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Keyword(s):
2013 ◽
Vol 11
(4)
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pp. 629-633
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Keyword(s):
2014 ◽
Vol 2014
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pp. 1-9
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Keyword(s):
2004 ◽
Vol 36
(04)
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pp. 1278-1299
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Keyword(s):
2013 ◽
Vol 2013
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pp. 1-13
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2005 ◽
Vol 54
(7)
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pp. 693-703
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