Tarbiat Modares University

AEM Seminar
_______________________
How to solve
LMIs in MATLAB
____________________
Saeed Varzandian
January 2012
How to solve LMIs in MATLAB 1
YALMIP
YALMI is a !odellin" lan"ua"e #or advan$ed !odelin" and solution o# $onve% and
non$onve% o&ti!ization &ro'le!s( It is i!&le!ented as a #ree )as in no $*ar"e+ tool'o% #or
MATLAB(
,reated 'y- Jo*an L.#'er"
Lin/.&in" 0niversitet )Sweden+
Download from:
http://users.isy.liu.se/johanl/yalmip/
How to solve LMIs in MATLAB 2
How to install YALMIP ...
4 easy steps:
1( 1%tra$t t*e zi&&ed #ile )yal!i&(zi&+
2( 2&en MATLAB and ty&e t*e #ollowin" $o!!and in t*e $o!!and window-
>>addpath(genpath('the yalmip path'));
e.g.
>>addpath(genpath('E:\yalmip'));
3( Add t*e YALMI &at* to MATLAB #ro!-
4ile 5 Set &at*((( 5 Add wit* su'#olders
6( To test w*et*er it is wor/in" &ro&erly or not7 ty&e-
>>yalmiptest
How to solve LMIs in MATLAB 3
How to solve LMIs with YALMIP?
LMI canonical form:
F( x)=F
0
+

i=1
m
x
i
F
i
>0
LMI is $an 'e $onsidered as an o&ti!ization &ro'le! o# t*e #ollowin" /ind-
!in *
su'8e$t to
4 9):+ 0
t*at $an 'e solved wit* YALMI;s se!ide#inite &ro"ra!!in" )sd&+ tool(
How to solve LMIs in MATLAB 6
olve LMIs with !"st five simple comman#s$
%P&A'
(T
((
)L&(%P
%)*BL(
How to solve LMIs in MATLAB <
%P&A'
,reate sy!'oli$ de$ision varia'le
You $an $reate a sd&var varia'le 'y-
= : S>VA?)n+ Sy!!etri$ n%n !atri%
= : S>VA?)n7n+ Sy!!etri$ n%n !atri%
= : S>VA?)n7!+ 4ull n%! !atri% )n@:!+
>e#inition o# !ulti&le scalars $an 'e si!&li#ied
S>VA? % y z w
T*e &ara!etrizations su&&orted are
= : S>VA?)n7n7;#ull;+ 4ull n%n !atri%
= : S>VA?)n7n7;sy!!etri$;+ Sy!!etri$ n%n !atri%
2t*er availa'le #or!s-
>ia"onal7 Sy!!etri$ Toe&litz7 0nsy!!etri$ Han/el7 Sy!!etri$ Han/el7 S/ewAsy!!etri$7 (((
A s$alar is de#ined as a 1%1 !atri%
How to solve LMIs in MATLAB B
(T
>e#ine t*e $onstraints
T*e se$ond !ost i!&ortant $on$e&t in YALMI is t*e set o'8e$t( A set o'8e$t is 'asi$ally a $olle$tion o# sd&var
o'8e$ts $onstrained to *ave so!e &ro&erty(
4 : set ) = 9 0 +
or
4 : set ) =C2Deye)2+::Y +
4or addin" !ulti&le $onstraints7 si!&ly use ;D; -
4 : set)9eye)2++ D set)A;EDEAF0+
How to solve LMIs in MATLAB G
((
See t*e 'ase !atri$es
Hit* see7 it is &ossi'le to see w*at t*e 'ase !atri$es loo/ li/e(
see)4+
see) eye)e+D4; +
How to solve LMIs in MATLAB I
)L&(%P
,o!&utes solution to o&ti!ization &ro'le!
DIAGNOSTIC SO!"#SD$%&'h'options(
S2LV1S> is t*e $o!!on $o!!and to solve o&ti!ization &ro'le!s o# t*e #ollowin" /ind
min h
s"+!ect to
, -./0 1
)*TP*T
dia"nosti$ - >ia"nosti$ in#or!ation
I2P*T
4 - 2'8e$t des$ri'in" t*e $onstraints( ,an 'e JK(
* - S>VA? o'8e$t des$ri'in" t*e o'8e$tive *)%+( ,an 'e JK(
o&tions - 2&tions stru$ture( See S>S1TTILMS( ,an 'e JK(
How to solve LMIs in MATLAB N
%)*BL(
2'tain solution #or a varia'le
dou'le)+
=_#easi'le:dou'le)=+
How to solve LMIs in MATLAB 10
(3AMPL(
40
sdp)ar *+ *, *- *.
!set%/.0*+0,1*, *,0*-0,2
*,0*-0, -1*,0*.3 4 5(2
see%!(
Constant matri*
. ,
, 5
6ase matri7es
+ 5
5 5
, +
+ -
5 +
+ 5
5 5
5 +
8sed )aria9les
+ , - .
How to solve LMIs in MATLAB 11
[
4+x
1
+2x
2
x
2
+x
3
+2
x
2
+x
3
+2 3x
2
+x
4
]
>0
[
4 2
2 0
]
+x
1
[
1 0
0 0
]
+x
2
[
2 1
1 3
]
+x
3
[
0 1
1 0
]
+x
4
[
0 0
0 1
]
>0
,(
*+sdp)ar%+'+(2
*,sdp)ar%+'+(2
!set%/+:*+ *+0*, *+ 2
*+0*, ,:*, 5 2
*+ 5 +0*,3 4 5(...
0set%*+0*,;+(2
<sol)esdp%!'/3(2
*+=feasi9ledou9le%*+(
*,=feasi9ledou9le%*,(
*+=feasi9le
:5.->?,
*,=feasi9le
5.,@,+
How to solve LMIs in MATLAB 12
-(Lyap"nov analysis "sin5 semi#efinite pro5rammin5
A Create a sta9le matri*
A /:+ ,25 :,32
A Create symmetri7 matri* %full synta*(
$ sdp)ar%,','Bsymmetri7B(2
A Add S#Ts for sta9ility
& set%$4eye%,(( 0 set%AB1$0$1A;5(
A &ind feasi9le solution' minimiCe tra7e%$(
solution sol)esdp%&'tra7e%$((2
A #*tra7t numeri7al solution
$=feasi9le dou9le%$(
$=feasi9le
+.5555 5.5555
5.5555 +.5555
A Che7D solution
eiE%$=feasi9le(
ans
+.5555
+.5555
eiE%AB1$=feasi9le0$=feasi9leB1A(
ans
:>.,-?+
:5.F?-@
How to solve LMIs in MATLAB 13
,"rther rea#in5
1( Ty&e-
44 yalmipdemo
#or various e%a!&les and !ore use#ul $o!!ands(
2( More in#or!ation on t*e !ain we'site-
http://users.isy.liu.se/johanl/yalmip/
How to solve LMIs in MATLAB 16
Than6s for yo"r attention$
How to solve LMIs in MATLAB 1<