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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
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
xRn
sub. to
gi (x) 0, i = 1, 2, ..., m
Ax = b
(1)
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
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
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
10 / 30
Standard LMI
F (x) := F0 +
n
X
xi F i 4 0
(5)
i=1
Introduction to LMIs
(6)
11 / 30
Introduction to LMIs
12 / 30
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
(9)
Further contributions
Lure (Stability under Saturations via LMIs);
Kalman, Yakubovich, Popov (Positive Real Lemma); ...
S. Grammatico (DEI UNIPI)
Introduction to LMIs
14 / 30
(10)
A> P + P A + Q P B + C >
>
P B + C>
R
< 0.
(11)
Introduction to LMIs
15 / 30
Robust optimization
System identification
...
Introduction to LMIs
16 / 30
(12)
Introduction to LMIs
(13)
17 / 30
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
Introduction to LMIs
19 / 30
Introduction to LMIs
19 / 30
Q := P 1
Y := KQ
Introduction to LMIs
19 / 30
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
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
20 / 30
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)
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)
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
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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)
(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
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Example 3
Nonlinear Inverted Pendulum as Uncertain Linear System (3)
Introduction to LMIs
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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
29 / 30
Conclusion
LMIs in Systems and Control Theory
Introduction to LMIs
30 / 30