Indefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming

Shaowei Zhou and Weihai Zhang

Mathematical Problems in Engineering, 2012, vol. 2012, 1-14

Abstract:

This paper is 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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:674087

DOI: 10.1155/2012/674087

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