%0 Journal Article
%T Indefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming
%A Shaowei Zhou
%A Weihai Zhang
%J Mathematical Problems in Engineering
%D 2012
%I Hindawi Publishing Corporation
%R 10.1155/2012/674087
%X This paper is concerned with a discrete-time indefinite stochastic LQ problem in an infinite-time horizon. A generalized stochastic algebraic Riccati equation (GSARE) that involves the Moore-Penrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinite-programming- (SDP-) based approach to study corresponding problems. Several relations among SDP complementary duality, the GSARE, and the optimality of LQ problem are established.
%U http://www.hindawi.com/journals/mpe/2012/674087/