Indefinite Stochastic Linear Quadratic Control with Integral Quadratic Constraints
A constrained stochastic linear quadratic(LQ) control problem with indefinite cost matrices is considered. It has been shown that the solvability of a type of generalized differential Riccati equations is equivalent to the solvability of the indefinite stochastic LQ problem. Sufficient conditions for the solvability of this constrained problem are given. Moreover, the unique optimal control can be determined by duality theory.
Hongji Ma Weihai Zhang Ting Hou
College of Science Shandong University of Science and Technology Qingdao,China 266510 College of Information and Electrical Engineering & College of Science Shandong University of Scienc
国际会议
青岛
英文
2006-07-21(万方平台首次上网日期,不代表论文的发表时间)