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of Information Engineering

Linear Matrix Inequalities

eng. Sergio Grammatico

grammatico.sergio@gmail.com

held by prof. Andrea Caiti

S. Grammatico (DEI UNIPI)

Introduction to LMIs

1 / 30

Outline

1

2

Introduction

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

2 / 30

Outline

1

2

Introduction

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

3 / 30

(LMIs)

Thanks to Stephen Boyd, Carsten Scherer et al.

S. Boyd and Lieven Vandenberghe, Convex Optimization,

Cambridge University Press, 2004.

S. Boyd, L. El Ghaoui, E. Feron and V. Balakrishnan,

Linear Matrix Inequalities in System and Control Theory,

Society for Industrial and Applied Mathematics (SIAM), 1994.

S. Boyd, Lecture notes in Convex Optimization,

Standford University.

Introduction to LMIs

4 / 30

Outline

1

2

Introduction

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

5 / 30

Convex Optimization

General problem

min f (x)

xRn

sub. to

gi (x) 0, i = 1, 2, ..., m

Ax = b

(1)

Global Optimality

Any local optimal point of a convex problem is globally optimal

Introduction to LMIs

6 / 30

Special Case

Linear Programming (LP)

Linear Programming

min c> x

xRn

sub. to

(2)

Gx h, Ax = b

Introduction to LMIs

7 / 30

Special Case

Quadratic Programming (QP)

Quadratic Programming

min x> P x + q > x

xRn

sub. to

(3)

Gx h, Ax = b

Introduction to LMIs

8 / 30

Semi-Definite Programming (SDP)

Semi-Definite Programming

min c> x

xRn

sub. to

F0 + x1 F1 + x2 F2 + ... + xn Fn 4 0,

(4)

Ax = b

Fi = Fi> Rnn

Introduction to LMIs

9 / 30

Outline

1

2

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

10 / 30

Definition

Standard LMI

F (x) := F0 +

n

X

xi F i 4 0

(5)

i=1

Multiple LMIs as a unique LMI:

F0 0

F1 0

Fn 0

+ x1

+ ... + xn

4 0

0 F0

0 F1

0 Fn

Introduction to LMIs

(6)

11 / 30

Feasibility and Optimization

Find x Rn such that F (x) < 0

Strict Feasibility LMI Problem

Find x Rn and R>0 such that

F (x) < In

LMI Optimization Problem

Find x Rn such that

F (x) < 0

c> x is minimized

S. Grammatico (DEI UNIPI)

Introduction to LMIs

12 / 30

A trick for NonLinear MIs

Schur Complement

Given Q(x) = Q(x)> , R(x) 0, S(x) affinely dependent on x,

the NonLinear MI

Q(x) S(x)R(x)1 S(x)> < 0

is equivalent to the LMI

Q(x) S(x)

S(x)> R(x)

Introduction to LMIs

(7)

< 0.

(8)

13 / 30

Back to Lyapunov

x = Ax A.S. P 0 : A> P + P A 0

(9)

Matrices as variables

Further contributions

Lure (Stability under Saturations via LMIs);

Kalman, Yakubovich, Popov (Positive Real Lemma); ...

S. Grammatico (DEI UNIPI)

Introduction to LMIs

14 / 30

Riccati revisited

>

A> P + P A + Q P B + C > R1 P B + C > < 0

(10)

A> P + P A + Q P B + C >

>

P B + C>

R

< 0.

(11)

(Y.E. Nesterov and A. Nemirovski)

S. Grammatico (DEI UNIPI)

Introduction to LMIs

15 / 30

Today

1

Robust optimization

System identification

...

Introduction to LMIs

16 / 30

Stability Analysis of Uncertain Linear Systems

x conv {Ai x | i [1, s]}

(12)

P 0 : A>

i P + P Ai 0 i = (12) A.S.

Introduction to LMIs

(13)

17 / 30

Robust Linear State-Feedback Control design (1)

x conv {Ai x + Bi u | i [1, s]} ,

1

u(x) = Kx

NonLinear MI in P , K:

(Ai + Bi K)> P + P (Ai + Bi K) 0 i

Introduction to LMIs

(14)

(15)

18 / 30

Robust Linear State-Feedback Control design (2)

Introduction to LMIs

19 / 30

Robust Linear State-Feedback Control design (2)

4

Introduction to LMIs

19 / 30

Robust Linear State-Feedback Control design (2)

4

Q := P 1

Y := KQ

Introduction to LMIs

19 / 30

Robust Linear State-Feedback Control design (2)

4

Q := P 1

Y := KQ

LMI in Y , Q:

> >

Ai Q + QA>

i + Bi Y + Y Bi 0 i

(16)

P := Q1 , K := Y Q1

S. Grammatico (DEI UNIPI)

Introduction to LMIs

19 / 30

Outline

1

2

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

20 / 30

SeDuMi and CVX

http://sedumi.ie.lehigh.edu/

http://cvxr.com/cvx/

CVXOPT in Python

CVXGEN for C-code generation

Introduction to LMIs

21 / 30

Example 1

Variable Mass-Spring System as Uncertain Linear System (1)

m

x = kx bx

k [k, k]

kx

bx

m

x

1 := x, 2 := x,

w := k

S. Grammatico (DEI UNIPI)

Introduction to LMIs

22 / 30

Example 1

Variable Mass-Spring System as Uncertain Linear System (2)

0

1

=

w 1

(17)

w [0.1, 1]

0

1

0

1

A1 =

, A2 =

0.1 1

1 1

Robust LMI Analysis

A>

i P + P Ai 0, i = 1, 2

Introduction to LMIs

23 / 30

Example 1

Variable Mass-Spring System as Uncertain Linear System (3)

A{1} = [0 1; -0.1 -1]; A{2} = [0 1; -1 -1];

n = 2; s = 2;

cvx begin

variable P(n,n) symmetric

variable a

maximize(a)

P == semidefinite(n);

a >= 0;

for i=1:s

A{i}*P + P*A{i} + a*eye(n) == -semidefinite(n);

end

cvx end

S. Grammatico (DEI UNIPI)

Introduction to LMIs

24 / 30

Example 2

Quadratic Stabilizability is only Sufficient for Uncertain Linear Systems

Counterexample

x =

0

1

1

0

x+

w

1

w

1

(18)

w [w, w]

A1 = A2 = A, B1 =

w

1

, B2 =

Conservatism of Quadratics

(18) quadratic stabilizable (searching P, K) only if w [1, 1]

Introduction to LMIs

25 / 30

Example 2

Quadratic Stabilizability is only Sufficient for Uncertain Linear Systems

Counterexample

x =

0

1

1

0

x+

w

1

w

1

(18)

w [w, w]

A1 = A2 = A, B1 =

w

1

, B2 =

Conservatism of Quadratics

(18) quadratic stabilizable (searching P, K) only if w [1, 1]

(18) stabilizable w R

S. Grammatico (DEI UNIPI)

Introduction to LMIs

25 / 30

Example 3

Nonlinear Inverted Pendulum as Uncertain Linear System (1)

I = mgl sin() +

2l , I

mg

u = = x 2 = mgl sin(x1 ) x1 + 1 u

x1 := , x2 := ,

I

x1

I

S. Grammatico (DEI UNIPI)

Introduction to LMIs

26 / 30

Example 3

Nonlinear Inverted Pendulum as Uncertain Linear System (2)

0

1

0

x =

x+

u

aw(x) 0

b

(19)

w(0) = 1

x1 [ 4 , 4 ] w(x1 ) [0.9, 1]

0

1

0 1

A1 =

, A2 =

0.9 a 0

1a 0

0

B1 = B2 =

b2

Introduction to LMIs

27 / 30

Example 3

Nonlinear Inverted Pendulum as Uncertain Linear System (3)

> >

1

1

Ai Q + QA>

i + Bi Y + Y Bi 0, P = Q , K = Y Q

cvx begin

variable Q(n,n) symmetric

variable Y(m,n)

maximize(log det(Q))

Q == semidefinite(n);

for i=1:s

A{i}*Q + Q*A{i} + B{i}*Y + Y*B{i} == -semidefinite(n);

end

cvx end

P = Q^(-1); K = Y*P

S. Grammatico (DEI UNIPI)

Introduction to LMIs

28 / 30

Outline

1

2

Semi-Definite Programming

From Convex Optimization to Semi-Definite

Programming

Linear Matrix Inequalities

Definition

Brief Historical Perspective

First simple problems

Software

SeDuMi and CVX

Examples

Conclusion

S. Grammatico (DEI UNIPI)

Introduction to LMIs

29 / 30

Conclusion

LMIs in Systems and Control Theory

Introduction to LMIs

30 / 30

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