Indefinite Stochastic LQ Control with Markovian Jumps via Semidefinite Programming (II)

Author

Luo, Chengxin ; Desheng Li

Author_Institution

Sch. of Math. & Syst. Sci., Shenyang Normal Univ.

Volume

1

fYear

0

fDate

0-0 0

Firstpage

641

Lastpage

645

Abstract

In part (I) of this paper an optimization model of indefinite stochastic linear-quadratic (LQ) problem over an infinite time horizon with jumps is proposed and studied. In this sequel, the LQ control problem is further studied and solved completely. To be precise, we obtain a stabilizing optimal feedback control or determine that the LQ problem has no optimal solution by establishing several implication relations among the SDP complementary duality, the existence of the solution to the CGAREs and the optimality of LQ problem. A numerical procedure that provides a thorough treatment of the LQ problem via primal-dual SDP is presented

Keywords

Markov processes; Riccati equations; algebra; duality (mathematics); feedback; linear quadratic control; mathematical programming; stochastic systems; Markovian jump; coupled generalized algebraic Riccati equation; mean-square stability; optimal feedback control; semidefinite programming complementary duality; stochastic linear-quadratic control problem; Automatic control; Feedback control; Mathematical programming; Mathematics; Riccati equations; Stability; Stochastic processes; Stochastic LQ control; complementary dual; coupled generalized algebraic Riccati equations; mean-square stability; semidefinite programming;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on

Conference_Location

Dalian

Print_ISBN

1-4244-0332-4

Type

conf

DOI

10.1109/WCICA.2006.1712420

Filename

1712420