Stochastic Linear-Quadratic Control via Semidefinite Programming

DOI10.1137/S0363012999355484zbMath1055.93077OpenAlexW2063263407MaRDI QIDQ2753230

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Publication date: 29 October 2001

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012999355484

zbMATH Keywords

semidefinite programminggeneralized Riccati equationmean-square stabilitystochastic LQ controlcomplementary duality

Mathematics Subject Classification ID

Convex programming (90C25) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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