A primal-dual semidefinite programming approach to stochastic linear quadratic control problems

The purpose of this article (...) is to derive an algorithm for solving stochastic linear quadratic control problems over infinite time horizon using a primal-dual semidefinite programming approach.


Advisor(s):
Forsgren, Anders
Year:
2009
Laboratories:




 Record created 2011-08-16, last modified 2018-01-28

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