Linear matrix inequality

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

\operatorname{LMI}(y):=A_0+y_1A_1+y_2A_2+\cdots+y_m A_m\geq0\,

where

This linear matrix inequality specifies a convex constraint on y.

Applications[edit]

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.

Solving LMIs[edit]

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.

References[edit]

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

External links[edit]