IEEE Transactions on Automatic Control, Vol.46, No.9, 1442-1447, 2001
A primal-dual semidefinite programming approach to linear quadratic control
We study a deterministic linear-quadratic (LQ) control problem over an infinite horizon, without the restriction that the control cost matrix R or the state cost matrix Q be positive-definite. We develop a general approach to the problem based on semidefinite programming (SDP) and related duality analysis. We show that the complementary duality condition of the SDP is necessary and sufficient for the existence of an optimal LQ control under a certain stability condition (which is satisfied automatically when Q is positive-definite). When the complementary duality does hold, an optimal state feedback control is constructed explicitly in terms of the solution to the primal SDP.