Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming

DOI10.1137/S0036144503434203zbMath1062.93049MaRDI QIDQ4652244

No author found.

Publication date: 25 February 2005

Published in: SIAM Review (Search for Journal in Brave)

zbMATH Keywords

semidefinite programminggeneralized Riccati equationmean-square stabilitystochastic linear-quadratic controlcomplementary duality

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

Related Items (5)

Stochastic semidefinite programming: a new paradigm for stochastic optimization ⋮ Delayed Optimal Control of Stochastic LQ Problem ⋮ Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon

Uses Software

• SDPA
• SeDuMi
• SDPT3

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