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In convex optimization, a linear matrix inequality (LMI) is an expression of the form

LMI ( y ) := A 0 + y 1 A 1 + y 2 A 2 + ? + y m A m >= 0 {\displaystyle \operatorname {LMI} (y):=A_{0}+y_{1}A_{1}+y_{2}A_{2}+\cdots +y_{m}A_{m}\geq 0\,}

where

  • y = [ y i ,   i = 1 , ... , m ] {\displaystyle y=[y_{i}\,,~i\!=\!1,\dots ,m]} is a real vector,
  • A 0 , A 1 , A 2 , ... , A m {\displaystyle A_{0},A_{1},A_{2},\dots ,A_{m}} are n × n {\displaystyle n\times n} symmetric matrices S n {\displaystyle \mathbb {S} ^{n}} ,
  • B >= 0 {\displaystyle B\geq 0} is a generalized inequality meaning B {\displaystyle B} is a positive semidefinite matrix belonging to the positive semidefinite cone S + {\displaystyle \mathbb {S} _{+}} in the subspace of symmetric matrices S {\displaystyle \mathbb {S} } .

This linear matrix inequality specifies a convex constraint on y.


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Applications

There are efficient numerical methods to determine whether an LMI is feasible (e.g., whether there exists a vector y such that LMI(y) >= 0), or to solve a convex optimization problem with LMI constraints. Many optimization problems in control theory, system identification and signal processing can be formulated using LMIs. Also LMIs find application in Polynomial Sum-Of-Squares. The prototypical primal and dual semidefinite program is a minimization of a real linear function respectively subject to the primal and dual convex cones governing this LMI.


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Solving LMIs

A major breakthrough in convex optimization lies in the introduction of interior-point methods. These methods were developed in a series of papers and became of true interest in the context of LMI problems in the work of Yurii Nesterov and Arkadii Nemirovskii.


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References

  • Y. Nesterov and A. Nemirovsky, Interior Point Polynomial Methods in Convex Programming. SIAM, 1994.

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External links

  • S. Boyd, L. El Ghaoui, E. Feron, and V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory (book in pdf)
  • C. Scherer and S. Weiland Course on Linear Matrix Inequalities in Control, Dutch Institute of Systems and Control (DISC).

Source of the article : Wikipedia

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