Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints

This paper studies the discrete-time stochastic linear quadratic (LQ) problem with a second moment constraint on the terminal state, where the weighting matrices in the cost functional are allowed to be indefinite. By means of the matrix Lagrange theorem, a new class of generalized difference Riccati equations (GDREs) is introduced. It is shown that the well-posedness, and the attainability of the LQ problem and the solvability of the GDREs are equivalent to each other

The H

This paper discusses the state feedback H∞ control problem for a class of bilinear stochastic systems driven by both Brownian motion and Poisson jumps. By completing square method, we obtain the H∞ control by solutions of the corresponding Hamilton-Jacobi equations (HJE). By the tensor power series method, we also shift such HJEs into a kind of Riccati equations, and the H∞ control is represented with the form of tensor power series

On stabilizability and exact observability of stochastic systems with their applications

This paper discusses the stabilizability, weak stabilizability, exact observability and robust quadratic stabilizability of linear stochastic control systems. By means of the spectrum technique of the generalized Lyapunov operator, a necessary and sufficient condition is given for stabilizability and weak stabilizability of stochastic systems, respectively. Some new concepts called unremovable spectrums, strong solutions, and weakly feedback stabilizing solutions are introduced. An unremovable spectrum theorem is given, which generalizes the corresponding theorem of deterministic systems to stochastic systems. A stochastic Popov-Belevith-Hautus (PBH) criterion for exact observability is obtained. For applications, we give a comparison theorem for generalized algebraic Riccati equations (GAREs), and two results on Lyapunov-type equations are obtained, which improve the previous works. Finally, we also discuss robust quadratic stabilization of uncertain stochastic systems, and a necessary and sufficient condition is given for quadratic stabilization via a linear matrix inequality (LMI)