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Well-posedness and Attainability of Indefinite Stochastic Linear Quadratic Control in Infinite-time Horizon

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Date

2000

Authors

Rami, Mustapha Ait
Zhou, Xun
Moore, John

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

This paper is concerned with a stochastic linear-quadratic (LQ) problem in an infinite time horizon with multiplicative noises both in the state and the control. A distinctive feature of the problem under consideration is that the cost weighting matrices

Description

Keywords

Keywords: Attainability; Generalized algebraic Riccati equation; Linear matrix inequality; Maximal solution; Semidefinite programming; Stabilizing solution; Stochastic linear-quadratic control; Well-posedness

Citation

URI

http://hdl.handle.net/1885/69275

Collections

ANU Research Publications

Source

Systems and Control Letters

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until

2037-12-31

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