Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints | Zendy

Weihai Zhang | Zendy; Guiling Li | Zendy

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Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints

Author(s) -

Weihai Zhang,

Guiling Li

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/278142

Subject(s) - mathematics , moment (physics) , discrete time and continuous time , constraint (computer aided design) , weighting , quadratic equation , riccati equation , matrix (chemical analysis) , class (philosophy) , state (computer science) , stochastic control , optimal control , mathematical optimization , mathematical analysis , differential equation , computer science , algorithm , medicine , statistics , physics , geometry , materials science , classical mechanics , artificial intelligence , composite material , radiology

This paper studies the discrete-time stochastic linear quadratic (LQ) problem with a second moment constraint on the terminal state, where the weighting matrices in the cost functional are allowed to be indefinite. By means of the matrix Lagrange theorem, a new class of generalized difference Riccati equations (GDREs) is introduced. It is shown that the well-posedness, and the attainability of the LQ problem and the solvability of the GDREs are equivalent to each other

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