Stochastic Linear-quadratic Control Problems with Affine Constraints

Abstract

This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality theory, the dual problem of original problem is established and the state feedback form of the solution to the optimal control problem is obtained. Under the Slater condition, the equivalence is proved between the solutions to the original problem and the ones of the dual problem, and the KKT condition is also provided for solving original problem. Especially, a new sufficient condition is given for the invertibility assumption, which ensures the uniqueness of the solutions to the dual problem.