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# İstanbul Technical University

Engineering

1 2 3 4 5 6

## 15 pts 15 pts 10 pts 10 pts 20 pts 15 pts 85 pts

Date: October 12, 2017 Full Name(s) :
Due: October 27, 2017 Student ID(s) :
Fall 2017 – Homework #3
all your work. Correct answers without suﬃcient explanation might not get full credit. 3.Mathematical proofs cannot be
given by examples or drawing pictures (unless it is a counter example).

## 1. Let Fi (x) ≺ 0, i = 1, 2, · · · , n be a set of LMIs in x. Show that

n
(i) Fi (x) ≺ 0, i = 1, 2, · · · , n implies αi Fi ≺ 0, where αi ≥ 0 are a set of real scalars
i=1
that are not simultaneously zero.
( )
(ii) Fi (x) ≺ 0, i = 1, 2, · · · , n if and only if diag F1 (x), · · · Fn (x) ≺ 0.
2. Recast the following matrix inequalities as equivalent LMIs in the indicated variables:

(i) X −1 F T F X −1 ≺ X −1 in X = X T ≻ 0 and F .

(ii) AX + XAT + BX −1 B T ≺ 0 in X = X T ≻ 0.

(iii) C T X −1 C ≺ Y −1 in X = X T ≻ 0 and Y = Y T ≻ 0.
3 Let { }
Λ = α = [α1 α2 ]T ∈ R2 : α1 + α2 = 1, α1 , α2 ≥ 0 .

Show that P (α) = α1 P1 + α2 P2 > 0 for any α ∈ Λ if and only if P1 > 0 and P2 > 0.
4 Let c(x) ∈ Rn and P (x) = P T (x) ∈ Rn×n depend aﬃnely on x, and P (x) be nonsingular for
all x. Find the equivalent LMIs for the following constraints:

## cT (x)P (x)−1 c(x) < 1, P (x) ≻ 0.

5 Consider the following optimization problem:

(cT x)2
min
dT x

subject to

Ax + b ≥ 0,

where we assume that dT x > 0 whenever Ax+b ≥ 0. Cast this problem as an LMI minimization
problem.
6 Let P (x) ∈ Sn×n and Q(x) ∈ Rn×p depend aﬃnely on x. Convert the following constraints
( )
trace QT (x)P −1 (x)Q(x) < 1, P (x) ≻ 0