Stochastic linear-quadratic control via semidefinite programming

SIAM Journal on Control and Optimization

Volumn 40, Issue 3, 2002, Pages 801-823

  Yao, David D ^a   Zhang, Shuziihong ^a   Zhou, Xun Yu ^a  

^a Columbia University ^*  (United States)

Author keywords

Complementary duality; Generalized Riccati equation; Mean square stability; Semidefinite programming; Stochastic LQ control

Indexed keywords

FEEDBACK CONTROL; LINEAR CONTROL SYSTEMS; MATHEMATICAL PROGRAMMING; OPTIMAL CONTROL SYSTEMS; STABILITY;

SEMIDEFINITE PROGRAMMING;

STOCHASTIC CONTROL SYSTEMS;

EID: 0036291121     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012999355484     Document Type: Article

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