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2012 Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods
Shaowei Zhou, Weihai Zhang
J. Appl. Math. 2012: 1-14 (2012). DOI: 10.1155/2012/638762


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.


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Shaowei Zhou. Weihai Zhang. "Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods." J. Appl. Math. 2012 1 - 14, 2012.


Published: 2012
First available in Project Euclid: 17 October 2012

zbMATH: 1235.93266
MathSciNet: MR2880836
Digital Object Identifier: 10.1155/2012/638762

Rights: Copyright © 2012 Hindawi


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