Indefinite stochastic linear quadratic control with integral quadratic constraints

被引：0

作者：

Ma, Hongji ^{[1
]}

Zhang, Weihai

Hou, Ting

机构：

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

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

来源：

DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES A-MATHEMATICAL ANALYSIS | 2006年 / 13卷

关键词：

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A constrained stochastic linear quadratic(LQ) control problem with indefinite cost matrices is considered. it has been shown that tire solvability of a type of generalized differential Riccati equations is equivalent to the solvability of the indefinite stochastic LQ problem. Sufficient conditions For the solvability of this constrained problem are given. Moreover, the Unique optimal control can be determined by duality theory.

引用

页码：806 / 811

页数：6

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