Indefinite Stochastic Linear Quadratic Control with Integral Quadratic Constraints

摘要

A constrained stochastic linear quadratic(LQ) control problem with indefinite cost matrices is considered. It has been shown that the solvability of a type of generalized differential Riccati equations is equivalent to the solvability of the indefinite stochastic LQ problem. Sufficient conditions for the solvability of this constrained problem are given. Moreover, the unique optimal control can be determined by duality theory.