Indefinite LQ control for discrete-time stochastic systems via semidefinite programming

DOI10.1155/2012/674087MaRDI QIDQ1955065zbMATH OpenOpenAlexWikidataFDO

Authors Shaowei Zhou, Weihai Zhang

Publication date 11 June 2013

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/674087

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Review text

Summary: We are 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.

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Cited in

(9)

• Indefinite stochastic LQ control with cross term via semidefinite programming
• Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems
• Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
• Stochastic linear-quadratic control via semidefinite programming
• Discrete-time indefinite stochastic LQ control via SDP and LMI methods
• LQG Control With Minimum Directed Information: Semidefinite Programming Approach
• Indefinite LQ optimal control with cross term for discrete‐time uncertain systems
• Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming
• Indefinite LQ optimal control for discrete-time uncertain systems

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