Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
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Cites work
- scientific article; zbMATH DE number 3116987 (Why is no real title available?)
- scientific article; zbMATH DE number 3181381 (Why is no real title available?)
- scientific article; zbMATH DE number 3682726 (Why is no real title available?)
- Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
- Discrete time LQG controls with control dependent noise
- Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem
- Extensions of quadratic minimization theory I. Finite time results
- Linear Matrix Inequalities in System and Control Theory
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- On the Separation Theorem of Stochastic Control
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Semidefinite Programming
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
Cited in
(32)- An equivalence result in linear-quadratic theory
- Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
- On the Matrix EquationX = Q − S∗X†S
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon
- Two iterative algorithms for stochastic algebraic Riccati matrix equations
- Optimal regulators for a class of nonlinear stochastic systems
- An adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems
- Discrete-time indefinite LQ control with state and control dependent noises
- Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Stochastic linear quadratic optimal control problems in infinite horizon
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Stabilization control for Itô stochastic system with indefinite state and control weight costs
- Partial stabilizability and hidden convexity of indefinite LQ problem
- Stochastic frequency characteristics
- Some remarks on infinite horizon stochastic \(H_2/H_\infty\) control with \((x,u,v)\)-dependent noise and Markov jumps
- Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems
- On some iterations for optimal control of jump linear equations
- Iterations for solving a rational Riccati equation arising in stochastic control
- The LMI approach for stabilizing of linear stochastic systems
- Stabilization in probability and mean square of controlled stochastic dynamical system with state delay
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
- Optimal regulator for a class of nonlinear stochastic systems with random coefficients
- Indefinite stochastic LQ problem with exponential stability degree constraint
- On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
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