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Nemirovskii NP Hardness

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9 1993Springer-VerlagLondon Limited

Mathematics of Control,

Signals, and Systems

Robust Stability Analysis*

A. Nemirovskiit

Abstract. We demonstratethat it is NP-hard to checkwhetherall representatives

semidefiniteness,provided that the matrix is symmetric;norm < 1; nonsingularity

(NP-hardness of this particular problem was established recently by Poljak and

Rohn); or stability (all eigenvaluesin the open left half-plane).

Key words. Intervalmatrices, NP-hardness, Robust stability.

1. The Problem

with uncertainty (i.e., a family of systems of a given type with the parameters taking

values in a given neighborhood of a given point) possesses certain property, say, is

stable (i.e., all particular systems of the family are stable). For example, assume that

we are given a linear time-invariant ordinary differnetial equation

where q(p) is a polynomial of a given order n, and all we know about q is that the

coefficients q~ of q belong to given segments [Oi, qi] c ~. This defines a family of

polynomials, and the robust stability problem here is to find out whether all

polynomials of the family are (strictly) stable, i.e., have all their roots in the open

left half-plane. The answer is given by the famous Kharitonov theorem [K]: it turns

out that in order to prove stability of the family it suffices to check whether four

polynomials chosen from the family by a certain simple rule are stable. In particular,

the problem under consideration is "tractable"--it can be solved in polynomial

time, i.e., an algorithm exists which, given the input (n, {~, ~, i = 1, ..., n}), verifies

in time (bit operations) polynomial in n and in the total length ~ of the binary

* Date received:July 15, 1993.Date revised:March 8, 1993.This work was completedwhileon leave

at INRIA-Rocquencourt,Domaine de Voluceau, Rocquencourt B.P. 105, 78153 Le Chesnay Cedex,

France.

t Central Economic & Mathematical Institute, Russian Academy of Sciences, 32 Krasikova St.,

Moscow 117418,Russia.

99

100

A. Nemirovskii

representation of (the rational) data 0~, ~/~ whether all members of the associated

family of polynomials are strictly stable.

Many other problems of robust stability are also tractable (i.e., are solvable in polynomial time), but this is not always the case. Moreover, some problems of this type

turn out to be NP-hard (roughly speaking, at least as complicated as such difficult

combinatorial problems as the traveling salesman problem; for precise definitions

of polynomial solvability and related notions of polynomial reducibility, NPcompleteness, and NP-hardness, see [GJ]). Although it still is unknown whether the

NP-complete combinatorial problems are polynomially solvable, traditionally they

(and then, of course, NP-hard problems) are regarded as computationally intractable.

The goal of this note is to demonstrate that the matrix analog of Kharitonov's

problem, i.e., the stability problem for the system

x'(O = Qx(t),

(1)

Q being an "interval" matrix, is NP-hard. We also do the same for several other

robust stability problems for matrices. Although this is what was conjectured by

many of those involved with robust stability analysis, the corresponding statements,

as far as we know, have never been proved. (After this note was finished, we learned

that the NP-completeness of the nonsingularity problem for interval matrices, i.e.,

the third of the four problems studied below, was recently proved by Poljak and

Rohn [PR]; nevertheless, we present here an alternative proof of that fact as well,

mainly for aesthetic reasons: all proofs which follow are variations of a single, very

simple observation.)

Let us start with some notation. I k denotes the unit k x k matrix and inequalities

of the type A > B for square matrices of the same size are understood in the operator

sense, i.e., A _> B if and only if A - B is positive semidefinite. Let n be a positive

integer, and let N be a set ofrationfil numbers Oo, 7ti~, i,j = 1 .... , n, such that O~j < ~tij,

i,j = 1, ..., n. This set defines an interval matrix d [ ~ ] , i.e., the family of all n x n

matrices A with real entries A~j belonging to the segments [O,j, 77,j], i, j = 1. . . . , n.

We say that .~ is symmetric ifOij = Oj,, 71ij = ~tji, i,j = 1..... n; in this case .,~ defines

a symmetric interval matrix zJ=[~], which, by definition, is the set of all symmetric

matrices from M [ ~ ] . We say that an interval matrix ~r

possesses a certain

property (say, is nonsingular) if this property is shared by all matrices A s N [ ~ ] .

Now let us formulate the following problems:

~N(n, .~). Given n and symmetric .~, determine whether the symmetric interval

matrix d=[.~] is positive semidefinite.

./V(n, .~).

Given n and ~, determine whether the interval matrix d [,~] has spectral

norm < 1, i.e., whether A r A <_ I, for all A e ~1[.~].

~(n, .~). Given n and .~, determine whether the interval matrix ~r

nonsingular.

is

fg(n, .~). Given n and .~, determine whether the interval matrix ~1[.~] is strictly

stable, i.e., whether all eigenvalues of all matrices from ~r [.~] lie in the

open left half-plane.

101

2. The Result

The goal of this note is to establish the following.

Proposition 2.1.

Jff, ~ , ~ is NP-hard.

Recall that as far as problem @ is concerned, the statement was proved by Poljak

and Rohn; the remaining parts of the assertion seem to be new.

Remark 2.1. As is seen from the proof, even very restricted versions of the above

four problems are still NP-hard: note that all entries in the interval matrices given

in the constructions to follow are fixed, except for the entries of a particular row

and/or column.

Proof. As usual, in order to establish NP-hardness of a problem ~, it suffices to

demonstrate that a certain problem ~+ which is known to be NP-complete can be

polynomiaUy reduced to ~.

1. We start from the following well-known NP-complete problem (see [GJ]):

6e(m, a). Given a positive integer m and an m-dimensional vector a, ]]all2 ~ 0.1,

with positive rational entries, determine whether the equation

ait~ = 0

(2)

i=1

In fact we deal with equivalent reformulations of ~(m, a) given by the following.

Lemma 2.1. Let F(m, a) be a scalar function of positive integer m and of mdimensional vector a, such that, first, F is well defined and takes rational values from

(0, IlalI2 2) for all positive integers m and all m-dimensional rational vectors a with

lia I]2 < 0.1 and, second, the value of this function at a given pair (m, a) can be computed

in time polynomial in m and the length of the standard representation of the (rational)

vector a. Then the problem

~r(m, a). Given a positive integer m and an m-dimensional vector a, lla[I2 <- 0.1, with

rational positive entries determine whether

max{zr(I,n - F(m, a)aaT)zlz 9 R rn, Hzl[~o--< 1} >_ m

(3)

max{zr(I,~ - F(m, a)aar)z]z ~ R m, IIzl]~o-< 1} <_ m

F(m, a)

dZ(a) ,

(4)

102

A. Nemirovskii

Proof. To prove that ~r(m, a) is NP-complete let us demonstrate that this problem

is equivalent to 5e(m, a) which is known to be NP-complete. Indeed, assume that

the answer to oW(m,a) is "yes," so that (2) admits a solution t with Its[ = 1, i = 1. . . . .

m. Then we evidently have

tr(Im - F(m, a ) a a r ) t = m,

It remains to prove that if the answer to 5a(m, a) is "no," then the answer to

~r(m, a) is also "no" and (4) takes place. Let the answer to 5~(m, a) be "no." Let K v

be the set of vertices of the unit cube KI = {z ~ R"[ IIzll o~ < X}. Since the answer to

~(m, a) is "no," the quantities a r z are nonzero for all z e KV; since all these quantites

are rational numbers with the denominator d(a), we conclude

(aTz) 2 >_ d-2(a)

for all

z e K ".

(5)

Now, by assumption, 0 < F(m, a) < flail2 2, so that the quadratic form

A ( z ) = zr(Im - F(m, a ) a a r ) z

is convex in z and therefore its maximum over K is the same as its maximum o v e r

K"; from (5) it follows that

max A ( z ) = max A ( z ) < m - F(m, a) min (arz) 2 _< m - F(m, a)d-2(a).

zEK

zeK

z~K v

The equivalence stated by Lemma 2.1 is probably well known; we presented the

proof in order to make this paper more self-contained.

2. To prove NP-hardness of ~ 9 ( n , 2) it suffices to reduce polynomially the

problem ~l(m, a) associated with F = 1 (the latter problem is NP-complete by

Lemma 2.1) to ~ ( n , ~), which can be done as follows. Given data m, a, set

n = m + 1,

B = (Im - a a r ) -1,

It = m - d - 2 ( a )

(recall that d(a) is the smallest common denominator of the entries of a), and define

the interval symmetric n x n matrix:

J~m

a =

zT

"

is positive semidefinite if and only if z r B - I z < It (when verifying the latter statement,

the fact that B is positive definite and symmetric should be taken into account). We

conclude that the answer to problem ~ associated with the above interval symmetric matrix is "yes" if and only i f z r B - X z = zr(Im -- a a r ) z < p for all z, Ilzl[~ < 1,

or, which is the same in view of Lemma 2.1 (where F = 1 should be set), if and only

if the answer in ~1 (m, a) is "no." Thus, we have reduced the polynomially NP-hard

problem ~ to ~ .

103

F(m, a) = 4

ara

1 --

3 + 4(1 - a r a ) a r a

2.1, so that problem ~r(m, a) is NP-hard. Thus, it suffices to reduce polynomially

the latter problem to X , which can be done as follows.

Given data m, a, set

n = m + 1,

p-

4#+3

7

# = m - d2(a--~,

y = F(m, a),

p-1

R-

L=-,

1

p

and

B = 89IT. -

Jg""

a a r.

{(. 0)

zr

R ze~m,[Izll~o<L

}

.

It suffices to verify that the problem X = X,,,~ associated with the interval matrix

is equivalent to ~r(m, a). The verification proceeds as follows.

The n o r m of a matrix of the form

(z".o)

is < 1 if and only if

]lBuI]~ + ( R t + zTu) 2 ~__ uTb/ --1- t 2

(6)

for all u ~ ~ " and all t ~ R, or, which evidently is the same due to continuity reasons,

if and only if (6) holds true for all (u, t) with t ~ 0. In turn, by homogeneity reasons

(6) holds true for all (u; t) with t r 0 if and only if it holds true for all (u, t) with t = 1,

i.e., if and only if

foraU

][Bu]l~+(R+zru)2<uru+l

u ~ I1~".

(7)

urA(z)u

- 2Rzru

> - ( 1 - R2),

u e ~",

(8)

where

A ( z ) = I -- B 2 - - z z r ---- S - z f f ,

(8) holds for all u if and only if the relation

vrv-

(xrv) z - 2Rxrv

> - ( 1 - R 2)

104

A. Nemirovskii

is true for all v e R ~, or, which is clearly the same, if it holds for all v = 2x, 2 ~ ~.

Thus, (6) holds for all u and t if and only if

22o"(1 - tr) - 2 R 2 a > - ( 1 - R2),

2 ~ ~,

where a = x r x - z r ( I - B 2 ) - ~ z ; the latter relation holds if and only if0 < tr < I R 2.

Thus, the particular representative of our interval matrix associated with a given

z is of norm < 1 if and only if

zr(I - B2)-lz

< 1 - R 2.

(1

--

B2) -I = ~ ( I

--

v a a r ) -~ ~W.,

3

~ ~m, jfylr~ < 1) _< 88 - R2)L -2.

max(yrWyly

The right-hand side of the latter inequality is equal to g = m - 7 / d 2 ( a ) = m F(m, a)/d2(a). Therefore, in view of Lemma 2.1, the answer in Y,~,a is "yes" if and

only if the answer to ~r(rn, a) is "'no," and the desired equivalence is proved.

4. It remains to establish NP-hardness of problems ~ and ~ It is more convenient to speak about the problem "complementary" to

f~'. Given an interval matrix, check whether all its representatives have all their

eigenvalues in the open right half-plane.

To prove the NP-hardness of if' is the same as to establish the same statement for ~.

Let m, a form the data for ~(m, a). We set

C = (In - a a r ) -1

m - d - Z ( a ) < L -z < m;

(9)

consider the interval matrix

M~,, =

{(c

yr

(10)

We demonstrate that problems ~ and f#' associated with this interval matrix are

equivalent to problem ~1 (m, a) associated with F - 1 and therefore ~ and ff are

NP-hard. We prove that the answers to the latter pair of problems are "yes" if and

only if the answer to ~1 (m, a) is "no."

5. Let the answer to ~l(rn, a) be "no," so that, by Lemma. 2.1,

max u r C - ~ u <_ m - d-2(a),

u~K1

where

105

max u r C - l u < 1.

(i1)

u~KL

Let us demonstrate that then the answers to problem ~ and fr associated with J//~,a

are "yes." Indeed, if y, z 9 KL and

__(C

yr

z)

1 '

then

D -

wr

w =

E KL;

since C is positive definite and w r C - l w < 1 (the latter inequality follows from (11)),

the matrix D is positive definite, and therefore all eigenvalues of A belong to the open

right half-plane, as claimed.

6. Now let the answer to 9~1(m, a) be "yes," so that maxu~r~ u r C - ~ u > m and

therefore, in view of(9), max,~xL U r C - l u > 1. Then u 9 Kz with u r C - l u = 1 exists,

so that the matrix

ur

~,;,,.

is singular. Thus, in the case in question the answers to ~ and ~' are "no."

Acknowledgment. The author is greatly indebted to Leonid Gurvits for his comments, which allowed the initial proof to be simplified.

References

[G J] M. R. Garey and D. S. Johnson, Computers and Intractability: A Guide to the Theory of NPCompleteness, Freeman, San Francisco, 1979.

I-K] V. L. Kharitonov, Asymptotic stability of an equilibrium position of a family of systems of linear

differential equations, Differential Equations, 14 (1979), 1483-1485.

[PR] S. Poljak and J. Rohn, Checking robust nonsingularityis NP-hard, Math. Control Signals Systems,

6 (1993), 1-9.

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