Use of semidefinite programming for solving the LQR problem subject to rectangular descriptor systems

Muhafzan

doi:10.2478/v10006-010-0048-9

Abstract

This paper deals with the Linear Quadratic Regulator (LQR) problem subject to descriptor systems for which the semidefinite programming approach is used as a solution. We propose a new sufficient condition in terms of primal dual semidefinite programming for the existence of the optimal state-control pair of the problem considered. The results show that semidefinite programming is an elegant method to solve the problem under consideration. Numerical examples are given to illustrate the results.

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Use of semidefinite programming for solving the LQR problem subject to rectangular descriptor systems

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