Stochastic linear-quadratic control with conic control constraints on an infinite time horizon
This paper is concerned with a stochastic linear-quadratic (LQ) control problem in the infinite time horizon where the control is constrained in a given, arbitrary closed cone, the cost weighting matrices are allowed to be indefinite, and the state is scalar-valued. First, the (mean-square, conic) s...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2005
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