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

Forsgren, AndersPellet, Nathalie2011-08-162011-08-162011-08-162009https://infoscience.epfl.ch/handle/20.500.14299/70109The 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.A primal-dual semidefinite programming approach to stochastic linear quadratic control problemsstudent work::semester or other student projects