Stochastic frequency characteristics

DOI10.1137/S0363012900373756MaRDI QIDQ2753219zbMATH OpenFDO

Authors Hanzhong Wu, Xun Yu Zhou

Publication date 29 October 2001

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0363012900373756

zbMATH Keywords

bilinear formcoercivitycontrolfrequency characteristicsindefinite stochastic linear-quadratic problemstochastic Riccati equation

Mathematics Subject Classification ID

Frequency-response methods in control theory (93C80) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

Review text

The paper is concerned with stochastic linear-quadratic (LQ) problems in infinite time horizon with control-dependent diffusions and indefinite cost weighting matrices. A new frequency characteristic for the indefinite stochastic LQ problem is obtained. This characteristic is a complex matrix that can be calculated directly from the given parameters of the LQ problem. The equivalence of the following statements is established: 1) the LQ problem is solvable and has a unique optimal control; 2) the stochastic Riccati equation has a unique solution such that the induced feedback control is stabilizing; 3) the associated optimization problem of the bilinear form is coercive; and 4) the frequency characteristic matrix is uniformly positive definite.

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Cited in

(8)

• Stochastic linear quadratic optimal control problems in infinite horizon
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
• Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon
• scientific article; zbMATH DE number 4139944 (Why is no real title available?)
• Frequency Content of Randomly Scattered Signals
• Guaranteed cost LQG control for uncertain systems with a normalized coprime factor uncertainty structure
• Stochastic problems of absolute stability

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