The totally singular linear quadratic problem with indefinite cost

H.L. Trentelman

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    Abstract

    In this paper we study the most general version of the stationary, infinite horizon linear quadratic optimal control problem. In the literature that has appeared on this problem up to now, mostly one (or both) of the following two assumptions are made: (i) the integrand of the cost criterion is given by a positive semi-definite quadratic form, (ii) the latter quadratic form is positive definite in the control variable alone. In the present paper we propose a problem formulation for the case that neither (i) nor (ii) are imposed. Subsequently, we treat the case that the problem is completely singular.
    Original languageEnglish
    Place of PublicationEindhoven
    PublisherTechnische Universiteit Eindhoven
    Number of pages24
    Publication statusPublished - 1989

    Publication series

    NameMemorandum COSOR
    Volume8905
    ISSN (Print)0926-4493

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