“…We can express the Bellman inequalities (8) as for all z ∈ R n , where we define This is equivalent to the condition, for t = 0, …, N −1, which can be written as Each of the terms , , , , , in the block matrix inequalities are linear functions of the variables Q t , q t , s t , P t , p t , c t , S t , R t , and r t . Thus, inequalities (11) are linear matrix inequalities (LMIs) 40–46. In particular, the set of matrices Q t , q t , s t , P t , p t , c t , S t , R t , and r t that satisfy (11) is convex.…”