Title :
LQ control via semidefinite programming
Author :
Yao, David D. ; Zhang, Shuzhong ; Zhou, Xun Yu
Author_Institution :
Dept. of Syst. Eng., Chinese Univ. of Hong Kong, Shatin, Hong Kong
fDate :
6/21/1905 12:00:00 AM
Abstract :
We study a stochastic linear-quadratic control problem over an infinite horizon, allowing the control and state cost matrices to be indefinite. We demonstrate that the problem can be solved by semidefinite programs under very mild regularity conditions. A central issue is the stability of the feedback control; and we show this can be effectively examined through the complementary duality of the semidefinite program
Keywords :
Riccati equations; duality (mathematics); feedback; linear quadratic control; mathematical programming; stability; stochastic systems; complementary duality; cost matrices; infinite horizon; semidefinite programming; stochastic LQ control; stochastic linear-quadratic control problem; very mild regularity conditions; Costs; Feedback control; History; Infinite horizon; Kalman filters; Riccati equations; Stability; State feedback; Stochastic processes; Systems engineering and theory;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.832930
