Yao, D.D.; Zhang, Zhang, S.; Zhou, X.Y. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
Riccati equations. We show that the complementary duality condition of the SDP is necessary and sufficient for the existence … of an optimal LQ control. Moreover, when the complementary duality does hold, an optimal state feedback control is … constructed explicitly in terms of the solution to the semidefinite program. On the other hand, when the complementary duality …