## Tools for Specifying and Solving LMIs

The LMI Lab is a high-performance package for solving general LMI problems. It blends
simple tools for the specification and manipulation of LMIs with powerful LMI solvers
for three generic LMI problems. Thanks to a structure-oriented representation of LMIs,
the various LMI constraints can be described in their natural block-matrix form.
Similarly, the optimization variables are specified directly as *matrix
variables* with some given structure. Once an LMI problem is specified, it
can be solved numerically by calling the appropriate LMI solver. The three solvers
`feasp`

, `mincx`

, and `gevp`

constitute the computational
engine of the LMI portion of Robust Control Toolbox™ software. Their high performance is achieved through C-MEX implementation
and by taking advantage of the particular structure of each LMI.

The LMI Lab offers tools to

Specify LMI systems either symbolically with the LMI Editor or incrementally with the

`lmivar`

and`lmiterm`

commandsRetrieve information about existing systems of LMIs

Modify existing systems of LMIs

Solve the three generic LMI problems (feasibility problem, linear objective minimization, and generalized eigenvalue minimization)

Validate results

This chapter gives a tutorial introduction to the LMI Lab as well as more advanced tips for making the most out of its potential.

### Some Terminology

Any linear matrix inequality can be expressed in the canonical form

*L*(*x*) =
*L*_{0} +
*x*_{1}*L*_{1}
+ . . . +
*x*_{N}*L** _{N}*
< 0

where

*L*_{0},*L*_{1}, . . . ,*L*are given symmetric matrices_{N}*x*= (*x*_{1}, . . . ,*x*)_{N}∊^{T}*R*is the vector of scalar variables to be determined. We refer to^{N}*x*_{1}, . . . ,*x*as the_{N}*decision variables*. The names “design variables” and “optimization variables” are also found in the literature.

Even though this canonical expression is generic, LMIs rarely arise in this form in control applications. Consider for instance the Lyapunov inequality

$${A}^{T}X+XA<0$$ | (1) |

where

$$A=\left(\begin{array}{cc}-1& 2\\ 0& -2\end{array}\right)$$

and the variable

$$X=\left(\begin{array}{cc}{x}_{1}& {x}_{2}\\ {x}_{2}& {x}_{3}\end{array}\right)$$

is a symmetric matrix. Here the decision variables are the free entries
*x*_{1},
*x*_{2},
*x*_{3} of *X* and the
canonical form of this LMI reads

$${x}_{1}\left(\begin{array}{cc}-2& 2\\ 2& 0\end{array}\right)+{x}_{2}\left(\begin{array}{cc}0& -3\\ -3& 4\end{array}\right)+{x}_{3}\left(\begin{array}{cc}0& 0\\ 0& -4\end{array}\right)<0.$$ | (2) |

Clearly this expression is less intuitive and transparent than Equation 1. Moreover, the number of matrices involved in
Equation 2 grows roughly as
*n*^{2} /2 if *n*
is the size of the *A* matrix. Hence, the canonical form is very
inefficient from a storage viewpoint since it requires storing
`o`

(*n*^{2} /2)
matrices of size *n* when the single
*n*-by-*n* matrix *A*
would be sufficient. Finally, working with the canonical form is also detrimental to
the efficiency of the LMI solvers. For these various reasons, the LMI Lab uses a
*structured representation* of LMIs. For instance, the
expression
*A*^{T}*X*
+ *XA* in the Lyapunov inequality Equation 1 is explicitly described as a function of the
matrix variable *X*, and only the *A* matrix
is stored.

In general, LMIs assume a block matrix form where each block is an affine
combination of the matrix variables. As a fairly typical illustration, consider the
following LMI drawn from *H*^{∞}
theory

$${N}^{T}\left(\begin{array}{ccc}{A}^{T}X+XA& X{C}^{T}& B\\ CX& -\gamma I& D\\ {B}^{T}& {D}^{T}& -\gamma I\end{array}\right)N<0$$ | (3) |

where *A*, *B*, *C*,
*D*, and *N* are given matrices and the
problem variables are *X* =
*X** ^{T}* ∊

*R*

^{n×n}and

*γ*∊

*R*. We use the following terminology to describe such LMIs:

*N*is called the*outer factor*, and the block matrix$$L\left(X,\gamma \right)=\left(\begin{array}{ccc}{A}^{T}X+XA& X{C}^{T}& B\\ CX& -\gamma I& D\\ {B}^{T}& {D}^{T}& -\gamma I\end{array}\right)$$

is called the

*inner factor*. The outer factor*needs not be square*and is*often absent*.*X*and γ are the*matrix variables*of the problem. Note that scalars are considered as 1-by-1 matrices.The inner factor

*L*(*X,*γ) is a symmetric*block matrix*, its block structure being characterized by the sizes of its diagonal blocks. By symmetry,*L*(*X,*γ) is entirely specified by the blocks on or above the diagonal.Each block of

*L*(*X,*γ) is an affine expression in the matrix variables*X*and γ. This expression can be broken down into a sum of elementary*terms*. For instance, the block (1,1) contains two elementary terms:*A*^{T}*X*and*XA*.Terms are either

*constant*or*variable*. Constant terms are fixed matrices like*B*and*D*above. Variable terms involve one of the matrix variables, like*XA*,*XC*, and –γ^{T}*I*above.

The LMI (Equation 3) is specified by the list of terms in each block, as is any LMI regardless of its complexity.

As for the matrix variables *X* and γ, they are characterized
by their dimensions and structure. Common structures include rectangular
unstructured, symmetric, skew-symmetric, and scalar. More sophisticated structures
are sometimes encountered in control problems. For instance, the matrix variable
*X* could be constrained to the block-diagonal
structure:

$$X=\left(\begin{array}{ccc}{x}_{1}& 0& 0\\ 0& {x}_{2}& {x}_{3}\\ 0& {x}_{3}& {x}_{4}\end{array}\right).$$

Another possibility is the symmetric Toeplitz structure:

$$X=\left(\begin{array}{ccc}{x}_{1}& {x}_{2}& {x}_{3}\\ {x}_{2}& {x}_{1}& {x}_{2}\\ {x}_{3}& {x}_{2}& {x}_{1}\end{array}\right).$$

Summing up, structured LMI problems are specified by declaring the matrix variables and describing the term content of each LMI. This term-oriented description is systematic and accurately reflects the specific structure of the LMI constraints. There is no built-in limitation on the number of LMIs that you can specify or on the number of blocks and terms in any given LMI. LMI systems of arbitrary complexity can therefore, be defined in the LMI Lab.

### Overview of the LMI Lab

The LMI Lab offers tools to specify, manipulate, and numerically solve LMIs. Its main purpose is to

Allow for straightforward description of LMIs in their natural block-matrix form

Provide easy access to the LMI solvers (optimization codes)

Facilitate result validation and problem modification

The structure-oriented description of a given LMI system is stored as a single
vector called the *internal representation* and generically
denoted by `LMISYS`

in the sequel. This vector encodes the
structure and dimensions of the LMIs and matrix variables, a description of all LMI
terms, and the related numerical data. It must be stressed that you need not attempt
to read or understand the content of `LMISYS`

since all
manipulations involving this internal representation can be performed in a
transparent manner with LMI-Lab tools.

The LMI Lab supports the following functionalities:

#### Specification of a System of LMIs

LMI systems can be either specified as symbolic matrix expressions with the interactive
user interface `lmiedit`

, or assembled
incrementally with the two commands `lmivar`

and `lmiterm`

. The first option is
more intuitive and transparent while the second option is more powerful and
flexible.

#### Information Retrieval

The interactive function `lmiinfo`

answers qualitative
queries about LMI systems created with `lmiedit`

or `lmivar`

and `lmiterm`

. You can also use
`lmiedit`

to visualize the LMI
system produced by a particular sequence of `lmivar`

/`lmiterm`

commands.

#### Solvers for LMI Optimization Problems

General-purpose LMI solvers are provided for the three generic LMI problems
defined in LMI Applications. These solvers can
handle very general LMI systems and matrix variable structures. They return a
feasible or optimal vector of decision variables *x**. The
corresponding values $${X}_{1}^{*},\dots ,{X}_{K}^{*}$$ of the matrix variables are given by the function `dec2mat`

.

#### Result Validation

The solution *x** produced by the LMI solvers is easily
validated with the functions `evallmi`

and `showlmi`

. This allows a fast
check and/or analysis of the results. With `evallmi`

, all variable terms in
the LMI system are evaluated for the value *x** of the
decision variables. The left and right sides of each LMI then become constant
matrices that can be displayed with `showlmi`

.

#### Modification of a System of LMIs

An existing system of LMIs can be modified in two ways:

An LMI can be removed from the system with

`dellmi`

.A matrix variable

*X*can be deleted using`delmvar`

. It can also be instantiated, that is, set to some given matrix value. This operation is performed by`setmvar`

and allows, for example, to fix some variables and solve the LMI problem with respect to the remaining ones.