Indefinite LQ control for discrete-time stochastic systems via semidefinite programming (Q1955065)
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scientific article; zbMATH DE number 6173475
| Language | Label | Description | Also known as |
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| English | Indefinite LQ control for discrete-time stochastic systems via semidefinite programming |
scientific article; zbMATH DE number 6173475 |
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Indefinite LQ control for discrete-time stochastic systems via semidefinite programming (English)
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11 June 2013
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Summary: We are 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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