Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints

Weihai Zhang and Guiling Li

Mathematical Problems in Engineering, 2014, vol. 2014, 1-9

Abstract:

This paper studies the discrete-time stochastic linear quadratic (LQ) problem with a second moment constraint on the terminal state, where the weighting matrices in the cost functional are allowed to be indefinite. By means of the matrix Lagrange theorem, a new class of generalized difference Riccati equations (GDREs) is introduced. It is shown that the well-posedness, and the attainability of the LQ problem and the solvability of the GDREs are equivalent to each other.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:278142

DOI: 10.1155/2014/278142

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