On constrained infinite-time linear quadratic optimal control

This work presents a solution to the infinite-time linear quadratic optimal control (ITLQOC) problem with state and control constraints. It is shown that a single, finite dimensional, convex program of known size can yield this solution. Properties of the resulting value function, with respect to initial conditions, are also established and are shown to be useful in determining the aforementioned problem size. An example illustrating the method is finally presented.