Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
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Publication:1407245
DOI10.1023/A:1024887007165zbMath1031.93155OpenAlexW173536089MaRDI QIDQ1407245
Xun Yu Zhou, Mustapha Ait Rami, Xun Li
Publication date: 15 September 2003
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1024887007165
semidefinite programminglinear matrix inequalityMarkovian jumpsmean-square stabilitycoupled generalized algebraic Riccati equationsindefinite cost weighting matricesStochastic LQ control
Stabilization of systems by feedback (93D15) Linear inequalities of matrices (15A39) Optimal stochastic control (93E20)
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