Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-02-16
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zhou, Shaowei& Zhang, Weihai. 2012. Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-14.
https://search.emarefa.net/detail/BIM-993445
Modern Language Association (MLA)
Zhou, Shaowei& Zhang, Weihai. Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods. Journal of Applied Mathematics No. 2012 (2012), pp.1-14.
https://search.emarefa.net/detail/BIM-993445
American Medical Association (AMA)
Zhou, Shaowei& Zhang, Weihai. Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-14.
https://search.emarefa.net/detail/BIM-993445
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-993445