Stochastic linear-quadratic control via semidefinite programming
- Author
- YAO, David D1 ; SHUZHONG ZHANG2 ; XUN YU ZHOU2
[1] Department of Industrial Engineering and Operations Research, Columbia University, New York, NY 10027, United States
[2] Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong-Kong - Source
SIAM journal on control and optimization. 2002, Vol 40, Num 3, pp 801-823 ; ref : 26 ref
- CODEN
- SJCODC
- ISSN
- 0363-0129
- Scientific domain
- Control theory, operational research
- Publisher
- Society for Industrial and Applied Mathematics, Philadelphia, PA
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Approche probabiliste Approximation asymptotique Commande LQ Commande boucle fermée Commande linéaire Commande optimale Commande stochastique Contrôle optimal Dualité Equation Riccati Horizon infini Méthode numérique Méthode primale duale Programmation semi définie Solution optimale
- Keyword (en)
- Probabilistic approach Asymptotic approximation LQ control Closed feedback Linear control Optimal control Stochastic control Optimal control (mathematics) Duality Riccati equation Infinite horizon Numerical method Primal dual method Semi definite programming Optimal solution
- Keyword (es)
- Enfoque probabilista Aproximación asintótica Control LQ Bucle realimentación cerrada Control lineal Control óptimo Control estocástico Control óptimo (matemáticas) Dualidad Ecuación Riccati Horizonte infinito Método numérico Método primal dual Programacíon semi definida Solución óptima
- Classification
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D02 Computer science; control theory; systems / 001D02D Control theory. Systems / 001D02D06 Control system analysis
- Discipline
- Computer science : theoretical automation and systems
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 14263045
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Access to the document
Install on your browser
DOI
10.1137/S0363012999355484 
https://dx.doi.org/10.1137/S0363012999355484
"O:13:\"PanistOpenUrl\":36:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000idc\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:9:\"\u0000*\u0000jtitle\";s:40:\"SIAM journal on control and optimization\";s:9:\"\u0000*\u0000stitle\";s:21:\"SIAM j. control optim\";s:7:\"\u0000*\u0000date\";s:4:\"2002\";s:9:\"\u0000*\u0000volume\";s:2:\"40\";s:8:\"\u0000*\u0000issue\";s:1:\"3\";s:8:\"\u0000*\u0000spage\";s:3:\"801\";s:8:\"\u0000*\u0000epage\";s:3:\"823\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0363-0129\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:3:\"YAO\";s:10:\"\u0000*\u0000aufirst\";s:7:\"David D\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:14:\"SHUZHONG ZHANG\";i:1;s:11:\"XUN YU ZHOU\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"SJCODC\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:8:\"\u0000*\u0000place\";s:16:\"Philadelphia, PA\";s:6:\"\u0000*\u0000pub\";s:46:\"Society for Industrial and Applied Mathematics\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:0:\"\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Panist access
"O:12:\"IstexOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:9:\"\u0000*\u0000jtitle\";s:40:\"SIAM journal on control and optimization\";s:9:\"\u0000*\u0000stitle\";s:21:\"SIAM j. control optim\";s:7:\"\u0000*\u0000date\";s:4:\"2002\";s:9:\"\u0000*\u0000volume\";s:2:\"40\";s:8:\"\u0000*\u0000issue\";s:1:\"3\";s:8:\"\u0000*\u0000spage\";s:3:\"801\";s:8:\"\u0000*\u0000epage\";s:3:\"823\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0363-0129\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:3:\"YAO\";s:10:\"\u0000*\u0000aufirst\";s:7:\"David D\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:14:\"SHUZHONG ZHANG\";i:1;s:11:\"XUN YU ZHOU\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"SJCODC\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:8:\"\u0000*\u0000place\";s:16:\"Philadelphia, PA\";s:6:\"\u0000*\u0000pub\";s:46:\"Society for Industrial and Applied Mathematics\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:0:\"\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Istex access
"O:16:\"UnpaywallOpenUrl\":35:{s:8:\"\u0000*\u0000email\";s:27:\"assistance-portail@inist.fr\";s:6:\"\u0000*\u0000fmt\";N;s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";N;s:7:\"\u0000*\u0000pmid\";N;s:9:\"\u0000*\u0000atitle\";N;s:9:\"\u0000*\u0000jtitle\";N;s:9:\"\u0000*\u0000stitle\";N;s:7:\"\u0000*\u0000date\";N;s:9:\"\u0000*\u0000volume\";N;s:8:\"\u0000*\u0000issue\";N;s:8:\"\u0000*\u0000spage\";N;s:8:\"\u0000*\u0000epage\";N;s:8:\"\u0000*\u0000pages\";N;s:7:\"\u0000*\u0000issn\";N;s:8:\"\u0000*\u0000eissn\";N;s:9:\"\u0000*\u0000aulast\";N;s:10:\"\u0000*\u0000aufirst\";N;s:9:\"\u0000*\u0000auinit\";N;s:10:\"\u0000*\u0000auinitm\";N;s:5:\"\u0000*\u0000au\";N;s:9:\"\u0000*\u0000aucorp\";N;s:7:\"\u0000*\u0000isbn\";N;s:8:\"\u0000*\u0000coden\";N;s:8:\"\u0000*\u0000genre\";N;s:7:\"\u0000*\u0000part\";N;s:9:\"\u0000*\u0000btitle\";N;s:8:\"\u0000*\u0000title\";N;s:8:\"\u0000*\u0000place\";N;s:6:\"\u0000*\u0000pub\";N;s:10:\"\u0000*\u0000edition\";N;s:9:\"\u0000*\u0000tpages\";N;s:9:\"\u0000*\u0000series\";N;s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";N;}"
Unpaywall access
"O:16:\"EuropePMCOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:9:\"\u0000*\u0000jtitle\";s:40:\"SIAM journal on control and optimization\";s:9:\"\u0000*\u0000stitle\";s:21:\"SIAM j. control optim\";s:7:\"\u0000*\u0000date\";s:4:\"2002\";s:9:\"\u0000*\u0000volume\";s:2:\"40\";s:8:\"\u0000*\u0000issue\";s:1:\"3\";s:8:\"\u0000*\u0000spage\";s:3:\"801\";s:8:\"\u0000*\u0000epage\";s:3:\"823\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0363-0129\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:3:\"YAO\";s:10:\"\u0000*\u0000aufirst\";s:7:\"David D\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:14:\"SHUZHONG ZHANG\";i:1;s:11:\"XUN YU ZHOU\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"SJCODC\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:8:\"\u0000*\u0000place\";s:16:\"Philadelphia, PA\";s:6:\"\u0000*\u0000pub\";s:46:\"Society for Industrial and Applied Mathematics\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:0:\"\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Europe PubMed Central access
"O:11:\"BaseOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:9:\"\u0000*\u0000jtitle\";s:40:\"SIAM journal on control and optimization\";s:9:\"\u0000*\u0000stitle\";s:21:\"SIAM j. control optim\";s:7:\"\u0000*\u0000date\";s:4:\"2002\";s:9:\"\u0000*\u0000volume\";s:2:\"40\";s:8:\"\u0000*\u0000issue\";s:1:\"3\";s:8:\"\u0000*\u0000spage\";s:3:\"801\";s:8:\"\u0000*\u0000epage\";s:3:\"823\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0363-0129\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:3:\"YAO\";s:10:\"\u0000*\u0000aufirst\";s:7:\"David D\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:14:\"SHUZHONG ZHANG\";i:1;s:11:\"XUN YU ZHOU\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"SJCODC\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:8:\"\u0000*\u0000place\";s:16:\"Philadelphia, PA\";s:6:\"\u0000*\u0000pub\";s:46:\"Society for Industrial and Applied Mathematics\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:0:\"\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Base Search access
"O:12:\"ArXivOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:25:\"10.1137\/S0363012999355484\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:9:\"\u0000*\u0000jtitle\";s:40:\"SIAM journal on control and optimization\";s:9:\"\u0000*\u0000stitle\";s:21:\"SIAM j. control optim\";s:7:\"\u0000*\u0000date\";s:4:\"2002\";s:9:\"\u0000*\u0000volume\";s:2:\"40\";s:8:\"\u0000*\u0000issue\";s:1:\"3\";s:8:\"\u0000*\u0000spage\";s:3:\"801\";s:8:\"\u0000*\u0000epage\";s:3:\"823\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0363-0129\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:3:\"YAO\";s:10:\"\u0000*\u0000aufirst\";s:7:\"David D\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:14:\"SHUZHONG ZHANG\";i:1;s:11:\"XUN YU ZHOU\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"SJCODC\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:64:\"Stochastic linear-quadratic control via semidefinite programming\";s:8:\"\u0000*\u0000place\";s:16:\"Philadelphia, PA\";s:6:\"\u0000*\u0000pub\";s:46:\"Society for Industrial and Applied Mathematics\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:0:\"\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
arXiv access
