Journal of Applied Mathematics
- J. Appl. Math.
- Volume 2012 (2012), Article ID 638762, 14 pages.
Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods
This paper studies a discrete-time stochastic LQ problem over an infinite time horizon with state-and control-dependent noises, whereas the weighting matrices in the cost function are allowed to be indefinite. We mainly use semidefinite programming (SDP) and its duality to treat corresponding problems. Several relations among stability, SDP complementary duality, the existence of the solution to stochastic algebraic Riccati equation (SARE), and the optimality of LQ problem are established. We can test mean square stabilizability and solve SARE via SDP by LMIs method.
J. Appl. Math., Volume 2012 (2012), Article ID 638762, 14 pages.
First available in Project Euclid: 17 October 2012
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Zhou, Shaowei; Zhang, Weihai. Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods. J. Appl. Math. 2012 (2012), Article ID 638762, 14 pages. doi:10.1155/2012/638762. https://projecteuclid.org/euclid.jam/1350479384