- Article
Optimization of Constrained Stochastic Linear-Quadratic Control on an Infinite Horizon: A Direct-Comparison Based Approach
- Ruobing Xue,
- Xiangshen Ye and
- Weiping Wu
In this paper we study the optimization of the discrete-time stochastic linear-quadratic (LQ) control problem with conic control constraints on an infinite horizon, considering multiplicative noises. Stochastic control systems can be formulated as Ma...

