Generalized differential Riccati equation and indefinite stochastic LQ control with cross term

被引：6
|
作者：
Luo, CX [1 ]
Feng, EM [1 ]
机构：
[1] Dalian Univ Technol, Dept Appl Math, Dalian 116024, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2004年 / 155卷 / 01期
关键词：
indefinite stochastic LQ control; cross term; generalized differential Riccati equation; Moore-Penrose inverse;
D O I：
10.1016/s0096-3003(03)00766-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A stochastic indefinite linear-quadratic (LQ) optimal control problem with cross term in a finite time horizon is studied. A new generalized differential Riccati equation (GDRE) is introduced. It is shown that the solvability of the GDRE is equivalent to the solvability of the indefinite stochastic LQ problem. Furthermore, all of the optimal controls including feedback and open-loop can be identified via the solution to the GDRE. An example is presented to illustrate the theory obtained. (C) 2003 Elsevier Inc. All rights reserved.
引用
收藏
页码：121 / 135
页数：15
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