A primal-dual semidefinite programming approach to stochastic linear quadratic control problems
Pellet, Nathalie
2009

Files

Abstract

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.

Details

Title A primal-dual semidefinite programming approach to stochastic linear quadratic control problems
Author(s) Pellet, Nathalie
Advisor(s)
Date 2009
Laboratories SMA
Record Appears in Scientific production and competences > SB - School of Basic Sciences > SMA - Student projects in mathematics > SMA - Unattributed publications
Scientific production and competences > SB - School of Basic Sciences > Mathematics
Work produced at EPFL
Student projects
Work type Semester assignment
Record creation date 2011-08-16

Actions

Preview