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Discrete-time indefinite stochastic LQ control via SDP and LMI methods
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نویسنده
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zhou s. ,zhang w.
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منبع
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journal of applied mathematics - 2012 - دوره : 2012 - شماره : 0
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چکیده
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This paper studies a discrete-time stochastic lq problem over an infinite time horizon with state-and control-dependent noises,whereas the weighting matrices in the cost function are allowed to be indefinite. we mainly use semidefinite programming (sdp) and its duality to treat corresponding problems. several relations among stability,sdp complementary duality,the existence of the solution to stochastic algebraic riccati equation (sare),and the optimality of lq problem are established. we can test mean square stabilizability and solve sare via sdp by lmis method. copyright © 2012 shaowei zhou and weihai zhang.
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آدرس
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college of information and electrical engineering,shandong university of science and technology, China, college of information and electrical engineering,shandong university of science and technology, China
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Authors
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