Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
 Xun Li,
 Xun Yu Zhou,
 Mustapha Ait Rami
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This paper studies a stochastic linear quadratic (LQ) control problem in the infinite time horizon with Markovian jumps in parameter values. In contrast to the deterministic case, the cost weighting matrices of the state and control are allowed to be indinifite here. When the generator matrix of the jump process – which is assumed to be a Markov chain – is known and timeinvariant, the wellposedness of the indefinite stochastic LQ problem is shown to be equivalent to the solvability of a system of coupled generalized algebraic Riccati equations (CGAREs) that involves equality and inequality constraints. To analyze the CGAREs, linear matrix inequalities (LMIs) are utilized, and the equivalence between the feasibility of the LMIs and the solvability of the CGAREs is established. Finally, an LMIbased algorithm is devised to slove the CGAREs via a semidefinite programming, and numerical results are presented to illustrate the proposed algorithm.
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 Title
 Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
 Journal

Journal of Global Optimization
Volume 27, Issue 23 , pp 149175
 Cover Date
 20031101
 DOI
 10.1023/A:1024887007165
 Print ISSN
 09255001
 Online ISSN
 15732916
 Publisher
 Kluwer Academic Publishers
 Additional Links
 Topics
 Keywords

 Stochastic LQ control
 coupled generalized algebraic Riccati equations
 linear matrix inequality
 semidefinite programming
 meansquare stability
 Industry Sectors
 Authors

 Xun Li ^{(1)}
 Xun Yu Zhou ^{(1)}
 Mustapha Ait Rami ^{(1)}
 Author Affiliations

 1. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong