Li, Guiling; Zhang, Weihai Study on indefinite stochastic linear quadratic optimal control with inequality constraint. (English) Zbl 1397.93237 J. Appl. Math. 2013, Article ID 805829, 9 p. (2013). Summary: This paper studies the indefinite stochastic linear quadratic (LQ) optimal control problem with an inequality constraint for the terminal state. Firstly, we prove a generalized Karush-Kuhn-Tucker (KKT) theorem under hybrid constraints. Secondly, a new type of generalized Riccati equations is obtained, based on which a necessary condition (it is also a sufficient condition under stronger assumptions) for the existence of an optimal linear state feedback control is given by means of KKT theorem. Finally, we design a dynamic programming algorithm to solve the constrained indefinite stochastic LQ issue. Cited in 6 Documents MSC: 93E20 Optimal stochastic control 49N10 Linear-quadratic optimal control problems 49J55 Existence of optimal solutions to problems involving randomness PDF BibTeX XML Cite \textit{G. Li} and \textit{W. Zhang}, J. Appl. Math. 2013, Article ID 805829, 9 p. (2013; Zbl 1397.93237) Full Text: DOI OpenURL