Generalized Linear Quadratic Control

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati

A stochastic linear quadratic (LQ) control problem is indefinite when the cost weighting matrices for the state and the control are allowed to be indefinite. Indefinite stochastic LQ theory has been extensively developed and has found interesting applications in finance. However, there remains an outstanding open problem, which is to identify an appropriate Riccati-type equation whose solvabili...

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

We consider a stochastic linear–quadratic (LQ) problem with possible indefinite cost weighting matrices for the state and the control. An outstanding open problem is to identify an appropriate Riccati-type equation whose solvability is equivalent to the solvability of this possibly indefinite LQ problem. In this paper we introduce a new type of differential Riccati equation, called the generali...

Optimal Linear Quadratic Control

Linear Quadratic Optimal Control

In previous lectures, we discussed the design of state feedback controllers using using eigenvalue (pole) placement algorithms. For single input systems, given a set of desired eigenvalues, the feedback gain to achieve this is unique (as long as the system is controllable). For multi-input systems, the feedback gain is not unique, so there is additional design freedom. How does one utilize this...

Linear-quadratic Control and Quadratic Differential Forms

We consider the infinite time linear-quadratic control problem from a behavioral point of view. The performance functional is the integral of a quadratic differential form. A characterization of the stationary trajectories and of the local minima with respect to (left) compact support variations, as well as their relation to stability, are obtained. Finally, several theorems are derived that de...