Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming

DOI10.1137/S0036144503434203MaRDI QIDQ4652244zbMATH OpenFDO

Authors

Publication date 25 February 2005

Published in SIAM Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0036144503434203

zbMATH Keywords

complementary dualitygeneralized Riccati equationmean-square stabilitysemidefinite programmingstochastic linear-quadratic control

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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(19)

• Indefinite stochastic LQ control with cross term via semidefinite programming
• Indefinite LQ control for discrete-time stochastic systems via semidefinite programming
• Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
• Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon
• Stochastic linear-quadratic control via semidefinite programming
• SDP approach for solving LQ control problem subject to implicit system
• Use of semidefinite programming for solving the LQR problem subject to rectangular descriptor systems
• Performance bounds and suboptimal policies for linear stochastic control via LMIs
• A numerical solution of positive-semidefinite linear-quadratic optimal control
• A primal-dual method for linear-quadratic gaussian control problems with quadratic constraints
• Discrete-time indefinite stochastic LQ control via SDP and LMI methods
• A primal-dual semi-definite programming approach to linear quadratic control
• Delayed optimal control of stochastic LQ problem
• Computable Primal and Dual Bounds for Stochastic Control
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Primal and dual linear decision rules in stochastic and robust optimization
• Model-free approximate dynamic programming for stochastic zero-sum games: algorithm design and analysis
• Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
• Stochastic semidefinite programming: a new paradigm for stochastic optimization

Describes a project that uses

Uses Software

• SDPT3
• SDPA
• SeDuMi

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