Continuous time constrained linear quadratic regulator - convex duality approach

A continuous time infinite horizon linear quadratic regulator with input constraints is studied. On the theoretical side, optimality conditions, both in the open loop and feedback form, are shown together with smoothness of the value function and local Lipschitz continuity of the optimal feedback. Arguments are self-contained, use basic ideas of convex conjugacy, and in particular, use a dual optimal control problem. A method of calculating the optimal and stabilizing feedback without relying on discrete optimization is outlined.