Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints (Q1718028)
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scientific article; zbMATH DE number 7016055
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints |
scientific article; zbMATH DE number 7016055 |
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Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints (English)
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8 February 2019
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Summary: This paper studies the discrete-time stochastic linear quadratic (LQ) problem with a second moment constraint on the terminal state, where the weighting matrices in the cost functional are allowed to be indefinite. By means of the matrix Lagrange theorem, a new class of generalized difference Riccati equations (GDREs) is introduced. It is shown that the well-posedness, and the attainability of the LQ problem and the solvability of the GDREs are equivalent to each other.
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