Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem

IEEE Transactions on Automatic Control

Volumn 47, Issue 7, 2002, Pages 1119-1122

  Wu, Hanzhong ^a   Zhou, Xun Yu ^b  

^a FUDAN UNIVERSITY   (China)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Generalized algebraic Riccati equation; Indefinite stochastic linear quadratic (LQ) control; Solvability; Static stabilizing solution

Indexed keywords

CONTROL SYSTEM ANALYSIS; FEEDBACK; MATHEMATICAL OPERATORS; MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS; THEOREM PROVING;

GENERALIZED ALGEBRAIC RICCATI EQUATION; INDEFINITE STOCHASTIC LINEAR QUADRATIC CONTROL; SOLVABILITY; STATIC STABILIZING SOLUTION;

LINEAR CONTROL SYSTEMS;

EID: 0036647266     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2002.800650     Document Type: Article

References (8)

1. Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
2. Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
3. Stochastic linear quadratic regulators with indefinite control weight costs
4. Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach
5. A generalized inverse of matrices
6. Stochastic frequency characteristics
7. Continuous-time mean-variance portfolio selection: A stochastic LQ framework