Search Results - subject:"Generalized Riccati Equation"

H ∞ optimal control problems for jump linear equations

Ivanov, I.; Ivanov, Ivelin G. - In: Journal of mathematical finance 5 (2015) 4, pp. 337-347

Persistent link: https://www.econbiz.de/10011438578

LQ control without Ricatti equations: deterministic systems

Yao, D.D.; Zhang, Zhang, S.; Zhou, X.Y. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

We study a deterministic linear-quadratic (LQ) control problem over an infinite horizon, and develop a general apprach to the problem based on semi-definite programming (SDP)and related duality analysis. This approach allows the control cost matrix R to be non-negative (semi-definite), a case...

Persistent link: https://www.econbiz.de/10010837813

LQ Control without Riccati Equations: Stochastic Systems

Yao, D.D.; Zhang, S.; Zhou, X.Y. - Erasmus University Rotterdam, Econometric Institute - 1999

. Furthermore, we establish several implication relations among the SDP complementary duality, the (generalized) Riccati equation …

Persistent link: https://www.econbiz.de/10008570636

LQ control without Ricatti equations: deterministic systems

Yao, D.D.; Zhang, S.; Zhou, X.Y. - Erasmus University Rotterdam, Econometric Institute - 1999

Persistent link: https://www.econbiz.de/10008584818

LQ Control without Riccati Equations: Stochastic Systems

Yao, D.D.; Zhang, Zhang, S.; Zhou, X.Y. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

. Furthermore, we establish several implication relations among the SDP complementary duality, the (generalized) Riccati equation …

Persistent link: https://www.econbiz.de/10010731580