Indefinite stochastic optimal LQR control with cross term under IQ constraints.

DOI10.1007/BF02935754zbMath1069.93042OpenAlexW2046462816MaRDI QIDQ1880480

Chengxin Luo, En-Min Feng

Publication date: 28 September 2004

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02935754

zbMATH Keywords

convex optimizationintegral quadratic constraintsstochastic Riccati equationLagrangian duality theoryindefinite control weightstochastic LQR control

Mathematics Subject Classification ID

Convex programming (90C25) Quadratic programming (90C20) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (1)

Two comparison theorems of BSDEs

Cites Work

• Unnamed Item
• A quasi-separation theorem for LQG optimal control with IQ constraints
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• On the Separation Theorem of Stochastic Control
• Convex Programming and Duality in Normed Space

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