1. Discrete-time Indefinite Stochastic LQ Optimal Control: Infinite Horizon Case
- Author
-
Wei-Hai Zhang and Jun-Jun Qi
- Subjects
Asymptotic analysis ,Basis (linear algebra) ,Materials Science (miscellaneous) ,Mathematical analysis ,Finite horizon ,Optimal control ,General Business, Management and Accounting ,Industrial and Manufacturing Engineering ,Algebraic Riccati equation ,Discrete time and continuous time ,Infinite horizon ,Business and International Management ,General Agricultural and Biological Sciences ,Mathematics - Abstract
The asymptotic analysis method is applied to the infinite horizon discrete-time indefinite stochastic LQ problem. This paper carries out the research on the basis of the results of its finite horizon counterpart and the mean-square stabilizing assumption. Properties of the solutions to the generalized algebraic Riccati equation (GARE) are also considered. Finally, two examples are provided to justify the developed theory.
- Published
- 2009