A Newton-like method for solving rank constrained linear matrix inequalities

Authors:
Robert Orsi;Uwe Helmke;John B. Moore
Affiliations:
Research School of Information Sciences and Engineering, Australian National University, Canberra ACT 0200, Australia;Department of Mathematics, University of Würzburg, AM Hubland 97074 Würzburg, Germany;Research School of Information Sciences and Engineering, Australian National University, Canberra ACT 0200, Australia and National ICT Australia Limited, Locked Bag 8001, Canberra ACT 2601, Austra ...
Venue:
Automatica (Journal of IFAC)
Year:
2006

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Abstract

This paper presents a Newton-like algorithm for solving systems of rank constrained linear matrix inequalities. Though local quadratic convergence of the algorithm is not a priori guaranteed or observed in all cases, numerical experiments, including application to an output feedback stabilization problem, show the effectiveness of the algorithm.