Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon

Mustapha Ait Rami; Xun Yu Zhou; J.B. Moore

doi:10.1016/s0167-6911(00)00046-3

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Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon

Mustapha Ait Rami Xun Yu Zhou J.B. Moore

Year: 2000 Journal: Systems & Control Letters Vol: 41 (2)Pages: 123-133 Publisher: Elsevier BV

DOI: 10.1016/s0167-6911(00)00046-3

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Keywords:

Mathematics Algebraic Riccati equation Riccati equation Semidefinite programming Optimal control Algebraic number Applied mathematics Multiplicative function Matrix (chemical analysis) Linear-quadratic regulator Linear matrix inequality State (computer science) Stochastic control Convex optimization Regular polygon Mathematical optimization Mathematical analysis Differential equation

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Matrix Theory and Algorithms

Physical Sciences → Computer Science → Computational Theory and Mathematics

Advanced Optimization Algorithms Research

Physical Sciences → Mathematics → Numerical Analysis

Stability and Control of Uncertain Systems

Physical Sciences → Engineering → Control and Systems Engineering

Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon

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