Idenfinite stochastic optimal LQR control with cross term under IQ constraints

Authors:
Chengxin Luo;Enmin Feng
Affiliations:
Department of Apllied Mathematics, Dalian University of Technology, Dalian 116024, P.R. China and Department of Mathematics, Shenyang Normal University, Shenyang 110034, P.R China;Department of Apllied Mathematics, Dalian University of Technology, Dalian 116024, P.R.China
Venue:
The Korean Journal of Computational & Applied Mathematics
Year:
2004

Citing 4
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Abstract

A stochastic optimal LQR control problem under some integral quadratic (IQ) constraints is studied, with cross terms in both the cost and the constraint functionals, allowing all the control weighting matrices being indefinite. Sufficient conditions for the well-posedness of this problem are given. When these conditions are satisfied, the optimal control is explicitly derived via dual theory.