J4 ›› 2008, Vol. 43 ›› Issue (5): 58-62 .doi:

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Indefinite stochastic LQ problem with exponential stability degree constraint

MA Hong-ji1, HOU Ting1, XING Jian-min2   

  1. 1. College of Science, Shandong University of Science and Technology, Qingdao 266510, Shandong, China；2. College of Mathematics and Physics, Qingdao University of Science and Technology, Qingdao 266510, Shandong, China
  • Received:1900-01-01 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: MA Hong-ji

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Abstract:

An indefinite stochastic LQ problem was studied in an infinite time horizon with stability degree constraint. The objective was to find an optimal control, by which the cost function minimum and the state with the optimal control having a higher mean-square convergence rate can be obtained. First, a necessary and sufficient condition was provided for the well-posedness of this problem. Then, a sufficient condition for the attainability was obtained based on the solvability of a generalized algebraic Riccati equation.

Key words: stochastic LQ problem; stability degree; well-posedness; attainability

CLC Number: 

  • O231.3
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