Indefinite stochastic optimal LQR control with cross term under IQ constraints.

DOI10.1007/BF02935754MaRDI QIDQ1880480zbMATH OpenOpenAlexFDO

Authors Chengxin Luo, Enmin Feng

Publication date 28 September 2004

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

Full work available at URL https://doi.org/10.1007/bf02935754

zbMATH Keywords

convex optimizationindefinite control weightintegral quadratic constraintsLagrangian duality theorystochastic LQR controlstochastic Riccati equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Quadratic programming (90C20) Convex programming (90C25) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

Review text

The indefinite stochastic optimal LQR control problem under some integral quadratic (IQ) constraints is studied, with cross terms in both the cost and the constraint functionals, allowing all the control weighting matrices to be indefinite. The dynamic system under consideration is an Ito stochastic differential equation which is linear in both the state and the control variable and the diffusion part depends on the control variable. Sufficient conditions for the problem to be well-posed are given. It is shown that the solvability for the corresponding stochastic Riccati equation is the very condition under which the LQR problem becomes a convex optimization problem. When the above-mentioned conditions are satisfied, through the dual theory, the optimal control can be obtained explicitly.

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Cites work

• A quasi-separation theorem for LQG optimal control with IQ constraints
• Convex Programming and Duality in Normed Space
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• On the Separation Theorem of Stochastic Control
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

Cited in

(6)

• Indefinite stochastic LQ control with cross term via semidefinite programming
• Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
• Two comparison theorems of BSDEs
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• Indefinite LQ optimal control with cross term for discrete‐time uncertain systems
• Indefinite stochastic LQ problem with exponential stability degree constraint

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