Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint

Guiling Li and Weihai Zhang

Journal of Applied Mathematics, 2013, vol. 2013, issue 1

Abstract: This paper studies the indefinite stochastic linear quadratic (LQ) optimal control problem with an inequality constraint for the terminal state. Firstly, we prove a generalized Karush‐Kuhn‐Tucker (KKT) theorem under hybrid constraints. Secondly, a new type of generalized Riccati equations is obtained, based on which a necessary condition (it is also a sufficient condition under stronger assumptions) for the existence of an optimal linear state feedback control is given by means of KKT theorem. Finally, we design a dynamic programming algorithm to solve the constrained indefinite stochastic LQ issue.

Date: 2013
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https://doi.org/10.1155/2013/805829

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2013:y:2013:i:1:n:805829

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