Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
권호 표지

INDEFINITE STOCHASTIC OPTIMAL LQR CONTROL WITH CROSS TERM UNDER IQ CONSTRAINTS

  • Luo, Cheng-Xin (Department of Apllied Mathematics, Dalian University of Technology) ;
  • Feng, En-Min (Department of Apllied Mathematics, Dalian University of Technology)
  • Published : 2004.05.01

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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.

Keywords

References

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