Indefinite stochastic LQ control with cross term via semidefinite programming

DOI10.1007/BF02936076zbMath1051.93099OpenAlexW2054470874MaRDI QIDQ1429334

Chengxin Luo, En-Min Feng

Publication date: 18 May 2004

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02936076

zbMATH Keywords

semidefinite programmingdualitygeneralized Riccati equationmean-square stabilitycross termindefinite stochastic LQ control

Mathematics Subject Classification ID

Semidefinite programming (90C22) Feedback control (93B52) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Control/observation systems in abstract spaces (93C25)

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