Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon

DOI10.1137/S0363012903429529zbMath1101.49027OpenAlexW2161370261MaRDI QIDQ4652575

Xi Chen, Xun Yu Zhou

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903429529

zbMATH Keywords

conewell-posednessinfinite time horizonconstrained controlstochastic linear-quadratic control(conic) stabilizabilityextended algebraic Riccati equations

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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