A Newton-Like Method for Solving Rank Constrained Linear Matrix Inequalities

Orsi, Robert; Helmke, Uwe; Moore, John

A Newton-Like Method for Solving Rank Constrained Linear Matrix Inequalities

Date

2004

Authors

Orsi, Robert

Helmke, Uwe

Moore, John

Publisher

Institute of Electrical and Electronics Engineers (IEEE Inc)

Abstract

This paper presents a Newton-like algorithm for solving systems of rank constrained linear matrix inequalities. Though local quadratic convergence of the algorithm is not a priori guaranteed or observed in all cases, numerical experiments, including application to an output feedback stabilization problem, show the effectiveness of the algorithm.

Keywords

Keywords: Algorithms; Constraint theory; Convergence of numerical methods; Feedback; Linear equations; Optimization; Problem solving; Interior point algorithm; Linear matrix inequality (LMI) problem; Quadratic convergence; Semidefinite matrices; Matrix algebra

URI

http://hdl.handle.net/1885/79612

Collections

ANU Research Publications

Source

IEEE Conference on Decision and Control Proceedings 2004

Type

Conference paper

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A Newton-Like Method for Solving Rank Constrained Linear Matrix Inequalities

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