Title :
Some results on discrete-time indefinite stochastic LQ optimal control problem
Author :
Junjun, Qi ; Zhang Weihai
Author_Institution :
Sch. of Math. & Syst. Sci., Shandong Univ., Jinan
Abstract :
We apply the asymptotic analysis method to discuss the infinite horizon discrete-time indefinite stochastic LQ problem. Properties of the solutions to the GARE are studied. Finally, we provide some examples to justify the developed theory.
Keywords :
Riccati equations; discrete time systems; linear quadratic control; stochastic systems; GARE; LQ optimal control problem; asymptotic analysis method; discrete-time indefinite stochastic LQ problem; generalised algebraic Riccati equation; Differential algebraic equations; Educational institutions; Infinite horizon; Information analysis; Mathematics; Optimal control; Riccati equations; Stochastic processes; Stochastic systems; Weight control; Completion of Squares Technique; Generalized Algebraic Riccati Equation (GARE); Maximal Solution;
Conference_Titel :
Control Conference, 2008. CCC 2008. 27th Chinese
Conference_Location :
Kunming
Print_ISBN :
978-7-900719-70-6
Electronic_ISBN :
978-7-900719-70-6
DOI :
10.1109/CHICC.2008.4605120
