Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon

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

zbMATH Keywords

semidefinite programminglinear matrix inequalityMarkovian jumpsmean-square stabilitycoupled generalized algebraic Riccati equationsindefinite cost weighting matricesStochastic LQ control

Mathematics Subject Classification ID

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