Indefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming
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 Moore-Penrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinit...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2012-01-01
|
| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2012/674087 |