Indefinite stochastic LQ control with cross term via semidefinite programming (Q1429334)

The indefinite stochastic LQ control problem has found many applications in a number of areas such as mathematical finance in recent years. So, much attention has been paid to investigate the nature of the optimal control and an algorithm to obtain the optimal control or that the underlying problem has no solution. The present paper deals with the LQ problem with cross terms in the cost functional, which has not been investigated in the literature. An approach to the problem based on semidefinite programming (SDP) and related duality analysis is developed. Several implication relations among the SDP complementary duality, the existence of the solution to the generalized Riccati equation and the optimality of the LQ problem are discussed. Based on these relations, a numerical procedure that provides a thorough treatment of the LQ problem via primal-dual SDP is given: it identifies a stabilizing optimal feedback control or determines that the problem has no optimal solution. An example of the obtained results is provided.