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The purpose of this article (...) is to derive an algorithm for solving stochastic linear quadratic control problems over infinite time horizon using a primal-dual semidefinite programming approach.
Maryam Kamgarpour, Luca Furieri
Sylvain Calinon, Teguh Santoso Lembono, Rohan Budhiraja
François Gallaire, Gioele Mariano Nicolò Balestra, Yves-Marie François Ducimetière, Mohamed Badaoui