Discrete-time indefinite LQ control with state and control dependent noises

DOI10.1023/A:1016578629272zbMath1035.49024OpenAlexW3158610175MaRDI QIDQ1864788

Xi Chen, Mustapha Ait Rami, Xun Yu Zhou

Publication date: 23 March 2003

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1016578629272

zbMATH Keywords

linear matrix inequalitydiscrete timemultiplicative noiseindefinite stochastic LQ controlgeneralized difference Riccati equation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)

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