Indefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming
نویسندگان
چکیده
This paper is concerned with a discrete-time indefinite stochastic LQ problem in an infinite-time horizon. A generalized stochastic algebraic Riccati equation GSARE that involves the MoorePenrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinite-programmingSDPbased approach to study corresponding problems. Several relations among SDP complementary duality, the GSARE, and the optimality of LQ problem are established.
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