# Open Problems in Optimization

(Difference between revisions)
 Revision as of 13:09, 2 February 2009 (edit) (→Begining with CVX)← Previous diff Revision as of 13:12, 2 February 2009 (edit) (undo)Next diff → Line 3: Line 3: == [[Smallest simplex]]. == == [[Smallest simplex]]. == - == [[Euclidean distance cone faces]]. == + == [[Begining with CVX]]. == Hello, Hello, Line 30: Line 30: - $Hij(W,R)=W*A_{/alfa}_i '+A{/alfa}_i*W-B_{/alfa}_i*R-R'*B_{/alfa}_j '<0$ + $Hij(W,R)=W*A_{/alfa i} '+A{/alfa i}*W-B_{/alfa i}*R-R'*B_{/alfa j} '<0$ and and Line 71: Line 71: $\lambda(W)=\lambda min(W)$ $\lambda(W)=\lambda min(W)$ - $\lambda_Hij=\lambda max(Hij(Wi,Ri))$ + $\lambda_{Hij}=\lambda max(Hij(Wi,Ri))$ 3)if 3)if

## Begining with CVX.

Hello,

I'm Maria, I have an answer abot CVX and how to work with. I hope here is the place for answer about.

I'm one student from Spain. I'm studing engienering in automatic control. I'm in my last year and I'm making a proyect of investigacion. It's about LQR and how to sintonice it by pole assignment.

I have some problems with the initialitation of the gain matrix. I'm reading one article for know how to make it. In the article they said that it's necessary to solve by convex programm. Until last week I didn't knew anything about convex program.

So I'm begining whit CVX program and now I'm lost. Could you help me? I don't know how to continue.

I have a system, A, B and C. It have to move poles to one region, for it, I make a transform to the original system. (A_alfa, B_alfa, C_alfa).

I have to know the gain matrix, with is:

$LaTeX: K=R*W^{(-1)}$

It's knew that:

$LaTeX: v(x)=x'*P*x=x'*W^{(-1)}*x$.

$LaTeX: x'*(A'*P+P*A)*x-2*x'P*B*K*x<0$.

$LaTeX: u(t)=-K*x(t)$.

$LaTeX: Hij(W,R)=W*A_{/alfa i} '+A{/alfa i}*W-B_{/alfa i}*R-R'*B_{/alfa j} '<0$

and

$LaTeX: W=eye(2,2)*w, w \in{} R^{(2x2)}$

$LaTeX: R=eye(2,2)*w, w \in{} R^{(4x2)}$.

The ecuation must: $LaTeX: min f(W,R)=min(p1)+min(p2)$

subject to:

$LaTeX: w_{nn} \leq{} p1$

$LaTeX: -p2 \leq{} r_{qn}\leq{} p2$

with

$LaTeX: n=1,....4, q=1...2.$

$LaTeX: W=w*eye(4)$

$LaTeX: R=r*eye(2,4)$

and:

$LaTeX: W \geq{} \epsilon1*eye(4)$

$LaTeX: Hij(W,R) \leq{} -\epsilon2*eye(4)$

Now the article says that aplaing the convex programm, it posible to solve the ecuation.

They present the next algoritm: 1) Initialization

$LaTeX: l=0, W1=W1=eye(4), R1=R2=zeros(2,4)$

2)Calculate

$LaTeX: \lambda(W)=\lambda min(W)$

$LaTeX: \lambda_{Hij}=\lambda max(Hij(Wi,Ri))$

3)if

$LaTeX: \lambda(W) \geq \epsilon1$

$LaTeX: lambda_H(ij) \leq -\epsilon2$

STOP

Else

$LaTeX: l=l+1$

calculate eigenvalues(v_w y v_Hij).

calculate the constraint linear: C1(W,R)

$LaTeX: v_w'*W1*v_w \geq \epsilon1$ if $LaTeX: (\epsilon1-\lambda_w)>(\lambda_Hij+\epsilon2)$

$LaTeX: v_Hij'*Hij*v_Hij \leq -\epsilon2$ if $LaTeX: (\epsilon1-\lambda_w)\leq (\lambda_Hij+\epsilon2)$

4)Solve

$LaTeX: min(p1+p2)$

under

$LaTeX: \epsilon1 \leq w_{nn} \leq p1$

$LaTeX: -p2 \leq r_{qn}\leq p2$

$LaTeX: C_k(W,R)$

$LaTeX: k=1,...z$

Now I have no idea of how to continue, or how to program the algoritm.

They said the method for solving it's mathematical convex program.

Thanks a lot for all, Greetings.