Discrete-Time Indefinite Stochastic LQ Control via SDP and LMI Methods

被引：7

作者：

Zhou, Shaowei ^{[1
]}

Zhang, Weihai ^{[1
]}

机构：

[1] Shandong Univ Sci & Technol, Coll Informat & Elect Engn, Qingdao 266510, Peoples R China

来源：

JOURNAL OF APPLIED MATHEMATICS | 2012年

基金：

中国国家自然科学基金;

关键词：

LINEAR-QUADRATIC CONTROL; RICCATI-EQUATIONS; SYSTEMS; STATE; HORIZON;

D O I：

10.1155/2012/638762

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页数：14

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