We study a stochastic linear-quadratic control problem over an infinite horizon, allowing the control and state cost matrices to be indefinite. We demonstrate that the problem can be solved by semidefinite programs under very mild regularity conditions. A central issue is the stability of the feedback control; and we show this can be effectively examined through the complementary duality of the semidefinite program.
|Original language||English (US)|
|Number of pages||6|
|Journal||Proceedings of the IEEE Conference on Decision and Control|
|State||Published - Dec 1 1999|
|Event||The 38th IEEE Conference on Decision and Control (CDC) - Phoenix, AZ, USA|
Duration: Dec 7 1999 → Dec 10 1999