A Structure Exploiting Preprocessor for Semidefinite Programs Derived From the Kalman-Yakubovich-Popov Lemma
2009 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 54, no 4, 697-704 p.Article in journal (Refereed) Published
Semidefinite programs derived from the Kalman-Yakubovich-Popov (KYP) lemma are quite common in control and signal processing applications. The programs are often of high dimension which makes them hard or impossible to solve with general-purpose solvers. Here we present a customized preprocessor, KYPD, that utilizes the inherent structure of this particular optimization problem. The key to an efficient implementation is to transform the optimization problem into an equivalent semidefinite program. This equivalent problem has much fewer variables and the matrices in the linear matrix inequality constraints are of low rank. KYPD can use any primal-dual solver for semidefinite programs as an underlying solver.
Place, publisher, year, edition, pages
2009. Vol. 54, no 4, 697-704 p.
Kalman-Yakubovich-Popov (KYP) lemma, Semidefinite programs (SDPs)
IdentifiersURN: urn:nbn:se:liu:diva-18151DOI: 10.1109/TAC.2009.2014922OAI: oai:DiVA.org:liu-18151DiVA: diva2:216490