Semidefinite Programming Duality in Infinite-Horizon Linear Quadratic Differential Games

Abstract

Semidefinite programs (SDPs) play a crucial role in control theory, traditionally as a computational tool. Beyond computation, the duality theory in convex optimization also provides valuable analytical insights and new proofs of classical results in control. In this work, we extend this analytical use of SDPs to study the infinite-horizon linear-quadratic (LQ) differential game in continuous time. Under standard assumptions, we introduce a new SDP-based primal-dual approach to establish the saddle point characterized by linear static policies in LQ games. For this, we leverage the Gramian representation technique, which elegantly transforms linear quadratic control problems into tractable convex programs. We also extend this duality-based proof to the $\mathcal{H}_\infty$ suboptimal control problem. To our knowledge, this work provides the first primal-dual analysis using Gramian representations for the LQ game and $\mathcal{H}_\infty$ control beyond LQ optimal control and $\mathcal{H}_\infty$ analysis.