Yao, D.D.; Zhang, S.; Zhou, X.Y. - Erasmus University Rotterdam, Econometric Institute - 1999
We study a deterministic linear-quadratic (LQ) control problem over an infinite horizon, and develop a general apprach to the problem based on semi-definite programming (SDP)and related duality analysis. This approach allows the control cost matrix R to be non-negative (semi-definite), a case...