Indefinite LQ control for discrete-time stochastic systems via semidefinite programming
type: Item
instance of: scholarly article
title: Indefinite LQ control for discrete-time stochastic systems via semidefinite programming
zbMATH Open document ID: 1264.93274
DOI: 10.1155/2012/674087
author: Shaowei Zhou
author: Weihai Zhang
published in: Mathematical Problems in Engineering
publication date: 2013-06-11T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 6173475
Wikidata QID: Q58911566
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/674087
OpenAlex ID: W2022664280
cites work: On a Matrix Riccati Equation of Stochastic Control
cites work: On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control
cites work: Generalized Lyapunov Equation Approach to State-Dependent Stochastic Stabilization/Detectability Criterion
cites work: Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
cites work: Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
cites work: Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
cites work: Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
cites work: Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
cites work: Stochastic linear-quadratic control via semidefinite programming
cites work: Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
cites work: Discrete-time indefinite LQ control with state and control dependent noises
cites work: Semidefinite Programming
cites work: Semidefinite programming duality and linear time-invariant systems
cites work: H∞-type control for discrete-time stochastic systems
cites work: Q4003646
description: scientific article; zbMATH DE number 6173475