LMIs in Control/pages/Nonconvex Multi-Criterion Quadratic Problems
LMIs in Control/pages/Nonconvex Multi-Criterion Quadratic Problems
The Non-Concex Multi-Criterion Quadratic linear matrix inequality will allow one to form an optimized controller, similar to that in an LQR framework, for a non-convex state space system based on several different criterions defined in the Q and R matrices, that are optimized as a part of the arbitrary cost function. Just like traditional LQR, the cost matrices must be tuned in much a similar fashion as traditional gains in classical control. In the LQR and LQG framework however, the gains are more intuitive as each correlates directly to a state or an input.
The System
[edit | edit source]The system for this LMI is a linear time invariant system that can be represented in state space as shown below:
where the system is assumed to be controllable.
where represents the state vector, respectively, is the disturbance vector, and are the system matrices of appropriate dimension. To further define: is and is the state vector, is and is the state matrix, is and is the input matrix, is and is the exogenous input.
for any input, we define a set cost indices by
Here the symmetric matrices,
- ,
are not necessarily positive-definite.
The Data
[edit | edit source]The matrices .
The Optimization Problem
[edit | edit source]The constrained optimal control problem is:
subject to
The LMI: Nonconvex Multi-Criterion Quadratic Problems
[edit | edit source]The solution to this problem proceeds as follows: We first define
where and for every , we define
then, the solution can be found by:
subject to
Conclusion:
[edit | edit source]If the solution exists, then is the optimal controller and can be solved for via an EVP in P.
Implementation
[edit | edit source]This implementation requires Yalmip and Sedumi.
https://github.com/rezajamesahmed/LMImatlabcode/blob/master/multicriterionquadraticproblems.m
Related LMIs
[edit | edit source]External Links
[edit | edit source]A list of references documenting and validating the LMI.
- LMI Methods in Optimal and Robust Control - A course on LMIs in Control by Matthew Peet.
- LMI Properties and Applications in Systems, Stability, and Control Theory - A List of LMIs by Ryan Caverly and James Forbes.
- LMIs in Systems and Control Theory - A downloadable book on LMIs by Stephen Boyd.