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Discrete-time Indefinite Stochastic LQ Optimal Control: Infinite Horizon Case

โœ Scribed by Jun-Jun QI; Wei-Hai ZHANG

Book ID
108499316
Publisher
Elsevier
Year
2009
Weight
193 KB
Volume
35
Category
Article
ISSN
1874-1029

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The optimal control problem for time-invariant linear systems with quadratic cost is considered for arbitrary, i.e., non-necessarily positive semidefinite, terminal cost matrices. A classification of such matrices is proposed, based on the maximum horizon for which there is a finite minimum cost for