Various Developments in Control

Bill Helton

UCSD

Department of Mathematics

Numerical Optimization
Unconstrained: Gradient descent, Newton - nds a local
optimum eciently.
Constrained: is harder
Old idea is interior point method.
Example subject to g(x) 0
min f (x1 , . . . , xg )
X

subject to

g(x) 0

Solution use a barrier function. Example

b
(x) :=
ln g(x)

Numerical Optimization
Solution use a barrier function.
Example b
(x) :=
ln y

y = g(x).

Set

f (x) := f (x) ln g(x)

Solve min f
(x) with a unconstrained algorithm. Take

x

short steps. Send
0

INTERIOR POINT METHOD

Set

f (x) := f (x) ln g(x).

Solve min f
(x) with

x

an unconstrained algorithm.
Rough History:
1. Solution 197? SOL paper said is VERY unreliable,
since f

(x ) is badly conditioned if solution x is on
boundary, g(x ) = 0.
2. Kamarkar, Bell labs 1985ish - showed works on
many examples.
3. Nestrov-Nimerovski 1990ish introduced LMIs, and
numerical solution

LINEAR MATRIX INEQUALITIES

GIVEN a linear pencil L(x) := A0 + A1 x1 + + Ag xg

symmetric matrices
FIND numbers (or matrices) X := {X1 , X2 , , Xg }
making L(X) Pos SemiDef.
SOLN: Interior Pt using barrier b
(X) := n det L(X)
APPLICATIONS:
Combinatorics 1993ish I Do not know this area,
Control- S. Boyd 1993ish. A Large crowd converted
control problems to LMI (about 2 dozen are clean).
Elimination Method, Change of Variables ( Carsten
Scherer). Also lots of tricks with Schur Complements.
Computational RAG appl to Lin and Nonlin Sys. 2000
Lasserre and Parrilo

LINEAR MATRIX INEQUALITIES

1. Many many uses of LMIs in compromises.

2. Vast vast vast literature.
3. Bilinear Matrix Inequalities BMI
(contains most systems problems)
XAY + Y AT X + BX + XB + Q P osDef.
People here who are experienced in converting:
Linear Sys Probs LMIs

LIN MATRIX INEQS vs CONVEX

Stabilize two linear systems A, Bj with a state feedback
controller, as in gain scheduling.
SOLN:
Lyapunov inequality: Find X which simultaneously
solves
XA + AT X XB1 B1T X + Q P osDef
XA + AT X XB2 B2T X + Q P osDef
Can do with an Matrix Ineq package for 150 150
matrices. Not possible with a Riccati equation solver.
Solution identify if model 1 or 2 applies; then use the
controller u = BjT Xx with B1 or B2 .

Sums of Squares

POSITIVE POLYNOMIALS vs SUMS of SQUARES

OF POLYNOMIALS
CONSTRUCTING A LYAPUNOV FUNCTION

FROM LALL- PARRILO SLIDES

In Appendices

LIN MATRIX INEQS vs CONVEX

LINEAR MATRIX INEQUALITIES LMIs
GIVEN a linear pencil L(x) := A0 + A1 x1 + + Ag xg
symmetric matrices
FIND matrices X := {X1 , X2 , , Xg } making L(X)
Pos SemiDef.
CONVEX MATRIX INEQUALITIES CMIs
QUESTION: How much more general are Convex
Matrix Inequalities than Linear Matrix Inequalities?
Bill believes there are two dierent situations with very
dierent behavior
Dimension Free,

Dimension Dependent

Systems problems Matrix Ineq

-

Given -

Find 

Many such problems Eg. H control

Example: Get Riccati expressions like
AX + X AT X BB T X + CC T  0
OR Linear Matrix Inequalities (LMI) like

AX + X AT + C T C X B
0

I
BT X
which is equivalent to the Riccati inequality.
ncDimlessPart

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DIMENSIONLESS FORMULAS

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1. DIMENSIONLESS FORMULAS THIS TALK

Topology is xed; but many systems . E.g.
+
- i- S1 - S2
6
S3
WANT FORMULAS: which hold regardless of the
dimension of system S1 , S2 , S3 . Then unknowns are
matrices and formulas respect matrix multiplication.
Eg. Most classical control text problems:
Control pre 1990: Zhou,Doyle,Glover.
LMIs in Control: Skelton, Iwasaki,
.
Grigoriadis.
Get noncommutative formulas

Keeping Matrices Whole

Matrices Whole
AX + XAT + C T C

XB

B X

12

0

Looks the same regardless of system size.

(1)

Keeping Matrices Whole

Matrices Whole
AX + XAT + C T C

XB

BT X

12

0

(1)

Looks the same regardless of system size.

Matrices Entry by Entry Disaggregated

If dimensions of the matrices A, B, C, X are specied, we
can write formula (1) with matrices L0 , . . . , Lm as
m


Lj Xj  0

j=0

with the unknown numbers Xj taken as entries of X.

Disaggregated Matrices

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Example: If A R22 , B R21 , C R12 , then X S2

and we would take

X =

X1

X2

X2

X3

and the LMI becomes

3


Lj Xj  0

j =0

where the 4 4 symmetric matrices L0 , L1 , L2 , L3 are:

L0 :=

L2 :=

CT C

2a12
a22 + a11
b21
b22

L1 :=

a11 + a22
2a21

b21
b11

b22
b12

b11
b12

L3 :=

Down with vec

2a11

a21
0

b11
0

b12
0

a21
b11
b12

a12

a22

a12

a22

b21

b21
2b22

+ and of Keeping Matrices Whole

+ not many variables

+ short formulas

Trouble is formulas are noncommutative.

+ NCAlgebra package does symbolic noncommutative
algebra.

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1. INTRO NC RAG - SEMIRAG

Real Algebraic Geometry = RAG
Study of Polynomials on Rg
RAG Semialgebraic Geometry = poly inequalities.
What about NonCommutative Polys?
Part I. A FEW PHENOMENA

NC Positive Polynomial
NC Convex Polynomials
introNCPolyPart

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1. POSITIVE NC POLYS
p0

Means What ?

p is a symmetric polynomial in non-commutative

variables x = {x1 , x2 } with real coecients, eg.

p( x ) = x1 2 + (x1 2 )T + x2 T x2
Dene MATRIX POSITIVE polynomial
Plug in n n matrices Xj for xj in p
always get
p(X1 , X2 ) is a PosSD n n matrix.

16

MATRIX POSITIVE POLYNOMIALSExamples

17
Example

p( x )

p(X)

x = {x1 , x2 }

2 + x )T
= (3x1
2

(3x2
1 + x2 )

+(x1 5 )T

(x1 5 )

PosSD

PosSD

This is a sum of squares (SoS). More generally

p( x ) =

c


Lj ( x ) Lj ( x )

j=1

is clearly always Matrix Positive.

NON-COM POLYS ARE BETTER

BEHAVED THAN COMMUTATIVE
POLYS
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THM:

Matrix
positive
non-commutative
polynomials are sums of squares
Can compute SoS, thus CAN TEST Matrix Positivity.
Proof: Operator theory techniques
See 2001 H preprint.
S. McCullough 2000 preprint - when all variables xj
are unitary.

19

NC CONVEX
POLYNOMIALS

20

Function p of noncommutative variables x := (x1 , x2 ) is

MATRIX CONVEX (geometric def.) 0 1

p(X + (1 )Y )  p(X) + (1 )p(Y )

1
1
p(X) + p(Y ) p( X + Y )is P os Def ?
2
2
2
2

Question: Consider the noncommutative polynomial

p(x) := x4 + (x4 )T .
Is it matrix convex?

CONVEX POLYNOMIALS ARE

WIMPS
The riddle revealed:
4 T

21

p(x) := x4 + (x ) is not matrix convex.

THM: ( McC + H)

Every symmetric noncommutative polynomial

which is matrix convex has degree 2 or less.
COR A Convex NC Polys is the Schur complement of some
linear pencil.

Proof:

1. NC Positive Polynomials
2. NC Second Derivatives
3. Put the two together

Convexity Algorithm
In[1] :=

<< NCAlgebra.m;

In[2] :=

<< NCConvexity.m;

In[3] :=

SetNonCommutative[X, Y];

In[4] :=

F = inv[X inv[Y]]

Out[5] := inv[X inv[Y]]

In[6] :=
Out[7] :=

NCConvexityRegion[F,{X, Y}]
{{2inv[X inv[Y]], 2inv[Y]}}

Download NCAlgebra : www.math.ucsd ncalg

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SUMMARY

1.

EVERY POSITIVE NC POLYNOMIAL IS

A SUM OF SQUARES. COMPUTABLE.
THM

2.

THM

3.

ALGORTHIM

EVERY CONVEX NC POLYNOMIAL HAS

DEGREE 2. Equiv. to an LMI.

CHECKS CONVEXITY OF NC
RATIONAL FUNCTION. TRY NCAlgebra

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ALGORITHMS and
IMPLEMENTATIONS
1. Convexity Checker - Camino, Skelton, H

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Public

2. Realization Builder: Convex Rational to LMI Slinglend, Shopple

in progress
3. Numerical matrix unknowns - Camino, Skelton, H
in house
4. LMI Producer (uses existing methods on special
problems) de Oliveira, H
in house (out soon)

Try NCAlgebra

SUMMARY: CONVEXITY vs LMI

CONJ: FOR DIM INDEP LINEAR SYS PROBS
CONVEX MIs are equivalent to LINEAR MI.
FOR DIM DEPENDENT LINEAR SYS PROBS
NOT EQUIVALENT: There is an extra constraint,
the line test
WEAK CONJ: the line test is necessary and sucient
Proved in two dimensions Vinnikov + H
THERE IS NEW FIELD
NC REAL ALGEBRAIC GEOMETRY.
THERE IS NC computer algebra software.

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END 2006

END 2006

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