Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems (Q1665772)
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scientific article; zbMATH DE number 6926441
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| English | Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems |
scientific article; zbMATH DE number 6926441 |
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Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems (English)
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27 August 2018
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Summary: The Karush-Kuhn-Tucker (KKT) theorem is used to study stochastic linear quadratic optimal control with terminal constraint for discrete-time systems, allowing the control weighting matrices in the cost to be indefinite. A generalized difference Riccati equation is derived, which is different from those without constraint case. It is proved that the well-posedness and the attainability of stochastic linear quadratic optimal control problem are equivalent. Moreover, an optimal control can be denoted by the solution of the generalized difference Riccati equation.
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