PKu"gsofths33rd

Conferem on Deddon and control

TP-1 5:20 Lake &remvi.FL- December 1894
Tlie LMI Coiitrol Toolbox

Puscal Guhiriet t Arkudii Nemirovskii t A i m J . Laub Muhmoud Chiluli t

Abstract: This paper describes a new MATLAB-based toolbox variables). Here < 0 stands for negative definite. Note that the
for control design via linear matrix inequality (LMI) tecliniques. system (1) can always be treated as a single LMI by replacing (1)
After a brief review of LMIs and of some 01 their applications to with
control, the toolbox contents and capabilities are presented. ..., L M ( z ) ) < 0.
L ( I ) = Diag (LI(z),
Solving this LMI system consists of finding some fearibk vector I,
1 Introduction
that is, some I for which (1) holds. Tlianks to the affine depen-
Linear matrix inequalities (LMIs) arise in many probleins froiii ro- dence on z,the feasible set is convex and finding a feasible vector
bust linear control theory, stochastic control, identification, etc. z is a convex optimization problem.
This partly stems from the natural connection between LMIs and Simple examples of LMIs include the Lyapunov inequality
Lyapunov techniques. Another reason is that many design con-
straints have natural formulations in terms of inequalities rather A ~ X + X A +Q < o ; x = xT E wnXn
than matrix equations (as, e.g., Lyapunov or Riccati equations).
A good introductory survey of LMI applications to systems and and the inquality
control is the monograph [GI.
Since solving LMIs is a convex optimization problem, LMI for-
A ~ +XX A + X B B ~ X +Q <o ; x = xT ER"^"
mulations offer numerically tractable meaiis of attacking problems which is clearly an LMI when rewritten as:
that lack analytical solution. In fact, eficient interior-point algm
rithms are now available to solve the generic LMI problems with
a polynomial-time worst-case complexity [16, 5, 19, 15). Conse-
quently, reducing a design problem to an LMI can be considered
(A T X + X A + Q
BTX
XB
-I

as a practical solution to this problem [6]. This, together witli Note that in both cases, the decision vector z consists of the
the wide applicability of LMIs, justifies the growing interest for free entries of the unknown symmetric matrix X.
LMI-based design in the control community. There are three generic LMI problems:
This paper presents the L M I Control Toolboz for use witli MAT-
LAB. This toolbox offers numerical algorithms for solving generic (i) the feasibility problem:
LMI problems as well as various tools for LMI-based control de-
sign. The core of the toolbox is the LMI-LABpackage which com- Fiiid z f Itp such that L(z) < 0; (3)
bines Nemirovskii's powerful Projective Algorithms with a user-
friendly interface for the specification and inaiiipulation of LMIs. (ii) the linear program under LMI constraints:
The control applications are built around LMI-LAB and allow tor
the streamlined treatment of various robust control problems. Tlie Minimize cTz subject to L(z) < 0; (4)
toolbox also includes advanced tools for classical Riccati-based H ,
control. Hence LMI-based and Riccati-based techniques can be (iii) tlie generalized eigenvalue minimization problem under LMI
combined to solve each particular problem in the most appropri- constraints:
ate uid efficient manner.
The paper is organized as follows. Section 2 givea some back- C(2) > 0
ground on LhlIs and on tlie underlyirig optimization problems. Minimize A subject to (5)
Section 3 contains a brief tutorial review of the LMI design prob- A(%) < A B(z).
lems addressed in the toolbox. Finally, Section 4 gives an overview
of the toolbox facilities. The first two problems are convex and the last one is quasi-convex
(see,e.g., [SI).
2 Generic LMI Probleiiis Nesterov and Nemirovskii have devised powerful interior-
point methods to solve these three generic LMI problems wiih
A system of LMIs is a set of matrix inequalities polynomial-lime worst-case complexity [16]. Of particular inter-
L,(z) < 0; 1=1, ...,M (1) est to this toolbox is Nemirovskii's Projective Algorithm [16,151.
For LMl problems, this algorithm is incrementally more efficient
where each L,(.)is a symmelric matrix that depends ofinelyon the
than standard convex optimization techniques such M the cutting
vector z E Rp of unknown scalar variables (the =called decision
plane or ellipsoid algorithms. The running times reported in [12]
'The fwst and fourth authors arc with INRIA Rocquencourt, Do- demonstrate that tlie Projective Algorithm is indeed a viable and
maiiie de Voluccau, BP 105, 78153 Le Cheuiay Cedex, France. Eniail: efficient means of solving LMIs, which in turn confirms that LMIs
$ahin*t@solorado.inria.fr coiutitute realistic approaches to control system engineering.
IThe second author is with the Faculty of hidustrial Eirgiiieeriiig
and Management, Tedmion, Technion City, H d a 32000,Israel. Email:
naairovs(t.chuaix.t.chnion..c.il 3 A Sample of LMI Design Problems
$The third author is with Lhe Dept. of Electrical and Coiiiputer Eii-
.&~cerin& UniveniLy of California, Santa Barbara, CA 93106-9560. E Tlie following applications of LMIs to control design are a d d d
niaii: 1anMaca.ncsb.adu by the toolbox and briefly reviewed in this aection.

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 3.1 Quadratic Lyapunov stability and exten- a full complex-valued block ( A , E C Lx n k ) . Such blocks repre-
sions sent dynamical uncertainty.

The linear time-varying system a scalar block Ak = 6 k x I where the scalar 6 k may be r e d or
coiuplex. This typically inodels parametric uncertainly.
z(t)= A(t)z(t); c(0) = CO (1)
is said to be quadratically stable if there exists a matrix P > 0 The set of commuting scalings D and G associated with A is de-
such that fined by
+
A(t)TP PA(t) < 0 (2) D = diag(D1,. . . ,D K ) where Dk = D C is a full block when Ak
at all time t . In such a case, V ( x ) := x T P x is a Lyapunov fuiiclioii is a scalar block, and a scalar block when Ak is a full block,
for the system (1). This notion is useful for assessing the stability
of time-varying systems. G = Diag(G1,. . . ,C,) where Gk = C," is nonzero only when
When A(t) takes values in the polytope of matrices Ak is real.

C O { A I , ..., A n } := { ~ i A t: a , 1 ",ea=
t1 ,
,El
assessing quadratic stability is an LMI problem. Specifically, it is
easily verified that (2) holds for P > 0 if aid only if this illequality
holds at the vertices A I , ... , A , of the polytope (3) [13, 41. IIence
the system (2) is quadratically stable for A(1) ranging in ( 3 ) if atid
only if the following system of LMIs is feasible:
ATP+ PA, < 0 for I = 1, ..., 11
P > I.
Testing the existence of a solution P is a feasibility problem (Type
(i) above).
This result is readiiy applicable to affine systems
i. = A(B(1)) x
where A ( . ) is a fixed affine function of the vector 8 ( t ) =
( 8 1 ( t )., . . , 8 r c ( t ) ) of time-varying real parameters. That is,
+
A(8) = Ao 81Ai . .. 81iAic+ + (5)
where Ao, A I , .. . , Alc are given matrices. This model is useful for
linear systems with time-varying physical parameters. If and
denote the extremal values of 8k(t) during operation, 8 ( t ) ranges
in an liyperrectangle of the parameter space W", and A(B(t)) then
ranges in a polytope of matrices since A ( . ) is afine in 8 . Hence
quadratic stability is again equivalent to a system of Lyapunov
inequalities of the form (4).
The quadratic stability test for polytopic systems can be ex-
tended to quadratic L2 performance, quadratic positivity, etc.
Quadratic stability tests can also be derived for descriptor systems
of the form
E(B(t))z = A ( 8 ( t ) )x
where both A and E are affine in the parameter vector 8. Fi-
nally, the notion of quadratic stability can be refined by consider-
ing parameter-dependent Lyapuirov matrices of the form:
+ +
P ( 8 ) := Po 81Pi .. . -t81cP1<. (6)
With an additional restriction on the Pk'S, checking the existelice
of such a P ( 8 ) also reduces to an LMI feasibility problem [a]. Using
&ne parameter-dependent Lyapunov functions reduces the con-
servatism of the quadratic stability test when the parameters 8, are
time-invariant or vary slowly. The resulting test is an interesting
alternative to p-analysis.
3.2 p-Analysis
Computing the upper bound of the p structured singular value for
real/complex time-invariant uucertainty is also an LMI problem
[8, 10, 181. This upper bound plays an important role in robust
stability analysis for uncertain dynamical systems. Consider M E
Cxnand an uncertainty structure
A = diag ( A I , .. . , A I , - )
where each Ak is either
I , (3)
Note that the scaling G is specific to real parameter uncertainty
and constitutes the main difference between the mixed and com-
plex p upper bounds.
Denoting by V and B the sets of scaling matrices defined above,
tlie upper bound on p ( M ) is given by
P(M) 5 d m
where a* is the optimum of the following generalized eigenvalue
ininimization problem:
(4)
Minimize a subject to
M H D M +j ( G M - MHG) 5 a D
D>O, DEV; GEB.
3.3 Constrained H , design
Standard H , control also falls within the scope of LMI techniques.
With the notation of [9], we have the following characterization of
achievable H, performances y [ l l , 141.
e, e, Theorein 3.1 Given bases n / , 2 and A41 for the null spaces of
( E r , Or,) and ( C Z ,Dzl), respectively, the suboptimal H , prob-
lem with performance y is solvable if and only if there ezist pairs
of symmetric matrices ( R ,S ) in R n X nsuch that
(; ;)to.
Note that this characterization holds for both regular and singular
plants (see [9] for a definition of these notions). Also, the compu-
tation of the best achievable y (i.e., the optimal H, gain) is an
LMI problem of Type (ii).
For standard (regular) H , control, the Riccati-based solution
[9] remains more appealing due to a lower computational over-
head. If there are additional constraints on the controller however,
the LM1-based cliaracterizalion oflers more flexibility and provides
tr&table approaches to constrained H , optimization. An interest-
ing example is the design of H , controllers that place the closed-
loop poles inside a disk or an a-stability region of the open left-
hdf plane [3, 71. This gives access to the closed-loop damping and
(7) transient response while meeting the performance and robustness
requirements.

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 3.4 Gain-scheduled H , controllers
Consider a linear system
i = A ( # ( * ) )z + B ( # ( t ) )8I
Y +
= C ( e ( * ) ) D ( @ ( t )U. ) (11)
where the state-space matrices A , B , C, D are affine f u l d o r l s of a
vector 8 ( t ) of time-varying parameters. This is a simple model of
systems whose dynamical equations depend on physical parameters
that vary during operation. In many practical situations, the value
of these varying parameters can be measured in real time. Rather
than seeking a single LTI controller for the entire operating range,
it then makes sense t o adjust the control law to changing operatiiig
conditions based on the available parameter measurements. This
technique is known as gain-scheduling and typically yields higlier
performance than classical robust LTI control.
Interestingly, the synthesis of robust gain-scheduled controllers
for the affine system (11) is also an LMI problem. In fact, it is
closely related to the standard H , problem discussed above. From
the affine dependence of A , B , C , D on 8 , these matrices range iri
the polytope
Seeking gain-scheduled controllers with the same amne paraineler
dependence as the plant ( l l ) , the quadratic H , performance 7 is
achievable if and only if there exist two syniinetric matrices R, S
such that [17, 11:
where B E RnXpand the variable A' is a n x n symmetric matrix.
In LMI-LAB, this LMI is specified in three steps as follows:
1. declare and dimension this LMI. This amounts to specifying the
nuniber of diagonal blocks (there are 2 here) and their dimen-
sions.
2. define the matrix variables by their dimensions and structure
(symmetric, block-diagonal, skew-symmetric, Toeplitz, etc.)
3. specify the additive terms appearing in this LMI. Here the terms
would be A T X , X A , Q , XB, and - I .
These operations are performed by the three functions addlmi,
addvar, and addterm. Alternatively, you can also specify your LMI
problem with a graphical user interface (GUI) called the "LMI ed-
itor." Here you only have to define the matrix variables as above,
and LMIs are then entered directly as MATLABexpressions. Even
tliouglr this GUI facility does not offer the same flexibility and
programming capabilities as addlmi, addvar, addterm, it allows
beginners to specify their LMI problems in a very transparent and
intuitive way. Note finally that systems of LMIs of arbitrary struc-
ture and with arbitrary matrix variables can be specified with these
facilities .
For illustration purposes, the sequence of commands needed to
specify the LMI (12) and compute a solution is listed below.
R I C H I = a d d l m i ( 0 , Cn p l ,n+p) % dimension HI
CRICWI1,Xl = addvar(RICH1.1,Cn 11) X d e f i n e rar. X

RICLMI - addterm(RICHI.Cl 1 1
R I C H I = addterr(RICWI1,El 1 I
XI,l,a,'s')
01,s)
%
%
A ' X + XA
term Q

( 2 )' ( ATS+SA,
BES
SB1,
-yI
Dlli
CE
DT',)
-71
( $1 y) <O RICLMI -
RICLMI = addterr(RICLN1,Cl 1 2
addterm(RICWI1, C1 2 2
X1,l.b)
01 .-1)
%
X
term B ' X
term -I

-
G t

( i = l , ..., r ) [tmin,xfeaal = feasp(RICWI1)

X dec2rat(RICHI.xfeas.X)
(7 ;)lo. The addlmi. addvar. addterm commands specify the LMI and
store its internal representation in the MATLABvariable RICWII. To
Given any solution R, S to this system, the state-space parameters
find a solution X of the feasibility problem, you then pass the LMI
of the gain-scheduled controller are given by explicit formulas (see
description R I C H I to the LMI solver f e a s p . This solver returns a
[17, 11 and references therein for details).
vector xf e a s of feasible values of the optimization variables (free
entries of X),and the corresponding value of the matrix X is given
4 Toolbox Contents by dec2mat.
This section gives an overview of the main components and design To give an idea of the running times involved in solving LMIs,
tools of the LMI Control Toolboz. the CPU times for the problem

Minimize Troce(X) subject to (12)

4.1 LMI-LAB
are listed below as a function of the problem order n (the size of
LMI-LAB is the computational engine of the toolbox. I t offers X ) . These figures are for a Sparc2 workstation and with a required
powerful LMI solvers together with tools to specify and manipulate relative accuracy of IO-'.
LMI problems in a straightforward manner. The solvers Cor the
three generic LMI problems defined in Section 2 are called f e a s p ,
l i n o b j , and gevp, respectively. To achieve high performance arid
fast running times, these solvers
rely on a C implementation of Nemirovskl's Projective A l g ~ 25.0
rithm, 85.0
25 300.0
exploit the particular structure of each LMI problem to min-
imize the storage requirement and compulational cost of each Additional facilities are provided to modify LMI syskms, re-
iteration. trieve information, define matrix variables of compkx structure,
The LMI solvers are supplemented by a user interface to specify validate results, etc.
LMI problems in their natural block-matrix form. For the sake of
illustration, consider the sirnple "Riccati-like" LMI 4.2 Robustness analysis
The LMI Control Toolboz contains several functions for assess-
ing the robust stability or performance of uncertain dynamical

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 systems. These functions implenieiit the various state-space and
frequency-domain approaches to robustness assessment. This in-
cludes quadratic stability, techniques based on alline parameter-
dependent Lyapunov functions, mixed p-analysis, and the Popov
. criterion. The performance criterioli can be the llMS gain or tlic
H z performance. The most appropriate tool for each problenr is se-
lected depending on the nature of the uncertainty (linear or nodin-
ear, time-invariant or time-varying, dynamical or parametric,...).
In addition, various utilities are provided for easy representa-
tion and manipulation of uncertain systems. For instance, afine
parameter-dependent systems
E ( 8 ) i: = A ( 8 ) z
where A, E are affine in the parameter vector 0 can be specified
and manipulated as regular systems.
4.3 Multi-objective state-feedback
LMI techniques are particularly powerful for multi-objective state-
feedback design [GI. The toolbox provides a facility to perform
state-feedback synthesis with any of the followillg constrailits:
H, performance (constraint on the closed-loop RMS gain),
e HZ performance (LQG cost),
pole placement in fairly general regioirs of the opeii left-half
plane.
This function is based on the results of [3, 71.
4.4 H , design
The L M I Control Toolbos implements both the Riccati-based and
LMI-based approaches to standard H , synthesis. The LMI-based
approach has the merit of directly handling the so-called singular
problems. The Riccati-based synthesis relies on the pencil-based
Riccati solvers developed by the third author and uses numeri-
cally stable implementations of the central controller formulas. In
addition, singular problems are automatically regularized by per-
turbation for improved user-friendliness.
Extensive facilities are also provided for one of the most popular
applications of H, synthesis: loopshaping design. These include a
GUI for specification of the shaping filters, a function for describing
general control structures and loopshaping criteria, and tools for
straightforward validation of the results.
Finally, the toolbox offers a function for H, design with pole
placement constraints. This is useful to control both the transient
behavior and the performance/robustness aspects.
4.5 Gain-sched uling
The gain-scheduling technique described in Subsection 3.4 is fully
implemented in the toolbox. For easy validation of the design,
facilities are provided for time-varying simulation of the gain-
scheduled control loop. This promising application of LMI tech-
niques can significantly cut down the effort and time required to
develop gain-scheduled controllers.
References
[l] Apkarian, P., P. Gahinet, and G. Decker, “Self-Scheduled H,
Control of Linear Parameter-Varying Systems,” submitted to
Automatica, 1993.
[2] Apkarian, P., and P. Gahinet, “Affine Parameter-Dependent
Lyapunov Functions for Real Parametric Uncertainty,” in
Proc. Conf.Dec. Contr., 1994.
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[3] Bambang, R., E. Shimemura, and I<. Uclrida, “Mixed H z / H ,
Control with Pole Placement,” State-Feedback Case,” Proc.
Amer. Contr. Conf., pp. 2777-2779, 1993.
[4] Boyd, S . , and Q. Yang, “Structured and Simultaneous Lya-
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Contr., 49 (1989), pp. 2215-2240.
[5] Boyd, S.P., and L. El Ghaoui, “Method of Centers for Min-
imizing Generalized Eigenvalues,” Lin. Alg. €d Applic., 188
(1993), pp. 63-111.
[GI Boyd, S., L. El Ghaoui, E. Feron, V. Balakrishnan, Linear
Matriz Inequalities in Systems and Control Theory, SIAM,
Philadelphia, 1994.
[7] Chilali, M. and P. Gahinet, “H, Design with Pole Placement
Constraints: an LMI Approach,” in Proc. Conf. Dec. Contr.,
1994.
[E] Doyle, J.C., “Analysis of Feedback Systems with Structured
Uncertainties,“ IEE Proc., vol. 129, pt. D (1982), pp. 242-250.
[9] Doyle, J.C., Glover, K., Khargonekar, P., and Francis, B.,
“State-Space Solutions to Standard Hz and H, Control Prob-
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[lo] Fan, M.K.H., A.L. Tits, and J.C. Doyle, “Robustness in the
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[ l l ] Gahinet, P. and P. Apkarian, “A Linear Matrix Inequality
Approach to H, Control,” to appear in Int. J. Robust and
Nonlinear Contr.. Also in Proc. Conf. Dec. Contr., 1993, pp.
656-661.
[12] Gahinet, P., and A. Nemirovskii, “LMI-Lab: a Package for
User-Friendly LMI Design,” Reference Manual, 1993.
[13] Iiorisberger, H.P., and P.R. Belanger, “Regulators for Lin-
ear Time-Varying Plants with Uncertain Parameters,” IEEE
Trans. Aut. Contr., AC-21 (1976), pp. 705-708.
[14] Iwasaki, T., and R.E. Skelton, “A Complete Solution to the
General H, Control Problem: LMI Existence Conditions and
State-Space Formulas,” Proc. Amer. Contr. Conf., pp. 605-
609, 1993.
[15] Nemirovskii, A., and P. Gahinet, ”The Projective Method
for Solving Linear Matrix Inequalities,” Proc. Amer. Contr.
Conf., 1994, pp. 840-844.
[16] Nesterov, Y., and A. Nemirovskii, “An Interior-point Method
for Generalized Linear-Fractional Problems,” to appear in
Math. Programming Series B, 1993.
[17] Packard, A., and G. Becker, “Quadratic
Stabilization of Parametrically-Dependent Linear Systems Us-
ing Parametrically-Dependent Linear, Dynamical Feedback,”
Advances in Robust and Nonlinear Control Systems, DCS, vol.
43 (1992), pp. 29-36.
[18] Safonov, M.G., and R.Y. Chiang, “Real/Complex Km-
Synthesis without Curve Fitting,” in Control and Dynamic
Systems, vol. 56 (Part 2), C.T. Leondes (Ed.), Academic Press,
1993.
[19] Vandenberghe, L. and S. Boyd, “Primal-Dual Potential Re-
duction Method for Problems Involving Matrix Inequalities,”
submitted to Math. Programming Series B, 1993.