Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
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Publication:5145606
DOI10.1137/20M135090XzbMath1496.90048arXiv2007.00132OpenAlexW3120877630MaRDI QIDQ5145606
Guanghui Lan, Georgios Kotsalis, Arkadi Nemirovski
Publication date: 21 January 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.00132
Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47) Numerical methods involving duality (49M29) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Robustness in mathematical programming (90C17)
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