Indefinite stochastic linear quadratic control and generalized differential Riccati equation

SIAM Journal on Control and Optimization

Volumn 40, Issue 4, 2002, Pages 1296-1311

  Rami, M Ait ^a   Moore, J B ^a   Zhou, Xun Yu ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Dynamic programming; Generalized Riccati equation; Indefinite costs; Matrix minimum principle; Matrix pseudo inverse; Stochastic LQ control

Indexed keywords

CONSTRAINT THEORY; DYNAMIC PROGRAMMING; FEEDBACK; LINEAR CONTROL SYSTEMS; MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING;

GENERALIZED DIFFERENTIAL RICCATI EQUATION; MATRIX MINIMUM PRINCIPLE; STOCHASTIC LINEAR QUADRATIC CONTROL;

RICCATI EQUATIONS;

EID: 0036334529     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900371083     Document Type: Article

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