
Open access
Date
2017-07Type
- Conference Paper
Abstract
We consider the infinite dimensional linear programming (inf-LP) approach for solving stochastic control problems. The inf-LP corresponding to problems with uncountable state and input spaces is in general computationally intractable. By focusing on linear systems with quadratic cost (LQG), we establish a connection between this approach and the well-known Riccati LMIs. In particular, we show that the semidefinite programs known for the LQG problem can be derived from the pair of primal and dual inf-LPs. Furthermore, we establish a connection between multi-objective and chance constraint criteria and the inf-LP formulation. Show more
Permanent link
https://doi.org/10.3929/ethz-b-000202016Publication status
publishedExternal links
Book title
20th IFAC World Congress. ProceedingsJournal / series
IFAC-PapersOnLineVolume
Pages / Article No.
Publisher
ElsevierEvent
Subject
stochastic control; linear programming; Semidefinite programmingOrganisational unit
09578 - Kamgarpour, Maryam (ehemalig) / Kamgarpour, Maryam (former)
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