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Matrix-Based Bounding Element-Wise Bounding The MPEP Global Optimization
Matrix-Based Bounding Element-Wise Bounding The MPEP Global Optimization
Matrix-Based Bounding Element-Wise Bounding The MPEP Global Optimization
Tlie objective of this paper is to compare oiir proposed algorithm [12, 131 for solving the M P E P with
BMI lxtiirh and boiiiid algorithms [2, 4, 101 proposed
for solving tlie BMI problem, which are respectively
characterized by the matrix-based l~oiindingand the
element-wise boiiiiding. We show that iisiiig tlie
matrix-based boiinding has soiiie advantages over the
element-wise boiinding to solve the MPEP. e.g.. we
can coiistriict a glohal algorithm siich that tlie iteration nuinher is giiaranteed to he l~oiindeclby ail iteration iipper boiind. Moreover, tlie algorithm iisiiig tlie
matrix-based boiinding solves each convex siibproblem
(relaxatioii problem) niore efficiently. In tlie seqiiel. we
will clarify tlie following facts:
Tlie matrix size of LMIs and tlie niiniber of variahles in one convex siibprohlem for the niatrixbased boiinding is niiicli less than t h a t for tlie
element-wise lioiuiding, wliicli leads to tlie speedtip to solve one siihprohleni.
1 Introduction
I n this paper, we consider the matrix procliict eigenvaliie problem (MPEP)introdiiced in [12, 131, which is
a problem between tlie linear matrix ineqiiality (LMI)
problem and the bilinear matrix ineqiiality (BMI [9])
problem, i.e., LMI c MPEP c BMI. Tlie motivation
is siininiarized as follows:
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This paper is organized as follows: We state tlie prohleni foriiiiilation and disciiss its property in Section 2 .
In Sectinn 3, we compare two relaxation prohleiiis, the
element-wise boiinding and tlie matrix-hased boiindiiig. In Section 4,we rlisciiss tlie total iteration niinilxr
and compiitational time in tlie worst and tlie average
cases, where tlie average case iteration i i i ~ n i l ~ eisr illiistratecl by ntimerical experinieiits for the constantly
scaled 71m control synthesis. Section 5 offers sonie concli d i n g remarks.
2 Problem description
2.1 The matrix product eigenvalue problem
We first define a set of block-diagonal iiiatxices V by
Here tlie secoiid equality is ohtaiiierl by a siiiiple parameter change, and the third eqiiality is ohtaiiied by
observiiig t h a t
where
(2.2)
MPEP
iiiiiiiiilize ~:!A,:
(EA)
siihjec; to (E, A ) E 2,. c
x D
(2.3)
where ~t~!:~
(.) denotes the sqiiare root of tlie maxiiiiitiii
eigeiivaliiel (or t h e square root of the spectral rachis).
T h e coiivex set 2, is iiormally defined by LMIs for coiitrol synthesis prohleiiis, so tlie reader inay associate the
coiivex constraint (E, A ) E 2, in (2.3) with LMIs on
(E, A ) E V x V .
We make the following assiiiiiptioii, which is not reOn the other hand, we have proposed a global optiiiiizatioii scheme to solve the M P E P directly. T h e
main difference of t h e two approaches lies in their
( 2 , A) E 2,
LMP
(2.6)
T h e MPEP can be recast as a prohlem of iiiiiiiiiiiziiig a
linear objective fimctioii iiiider iioiicoiivex constraints,
i.e., tlie followiiig eqiialities hold:
yr,l)t =
iiif
{ y>0
I A:~!~~(EA)I
7. (E. A ) E 2,
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0, con,carw
m.in,%mirationprohlem. form,,ulated
iiiiniiiiize
sithject to
fl
(z)fi(x)
E C c 8
fl(.)
> 0,
ti(.)
>0
As both tlie BMI problem aiid tlie M P E P are 11011coiivex whicli may liave pliiral local minima, we have
t o search over a soliition on all tlie entire doiiiaiii directly or secondhand in general. This is tlie difference
between coiivex aiid iioiicoiivex optimization proldeiiis,
aiid it makes tlie iioiicoiivex optimization prohleiii extreiiiely difficult. A general and perhaps aii efficient
way to do this process is the so-called lxaiicli aiid I~oiiiid
method (see e.g.. [7]). Roiiglily speaking, tlie branch
and boiiiid method consists of the following t,wo operations [7]:
Branching: Siibdivide the boiiiided doiiiaiii to be
searched into a finite niiiiiber of smaller s i i h spaces, e.g. hyper rectangles.
Boiiiidiiig: For each siibspace, fiiid iipper aiid lower
boiiiids on tlie objective fiiiictioii Iiy iisiiig iipper
lmiiiid a n d lower lmiiid fiiiictioiis. If the lower
lmiiid on certain siilxpace is larger than the ciirrent optimal valiie. priiiie the s i i l q a c e from the
tloniaiii.
j= 1
i=l j=1
(3.1)
Then the BMI eigeiivaliie problem is foriiiiilated as follows [4]: Given @ i j , minimize p (CP ( 2 ,y ) ) over (x. y) E
Q D c R7".rx R7',v. where Q D is a given closed boiiiitled
hyper rectangle.
Go11 et al. [4] proposed a relaxation prohleiii in order
to apply tlie liraiich aiid hoiiiid techiiiqiie to the BMI
eigeiivaliie prol1leii1, by element-wise replaceiiieiits of
liaffiiie teriiis :i;.iyj by 7uij with additional l,oiiiid coiistraiiits on n:i, y j aiid w i j . element-wisely. Tliey showed
tliat tlie relaxation probleiii provides an lower Imiiid
+
+
n:122/11
x121J12
3:22y12
n:11!/1z
3:12?J12
+ n:lzV22
+ 3:zzyz
This implies that we have to search over seven iioiicoiivex areas in spite of the siiiiplest case. More generally.
in tlie case of 71. x n, positrive tlefiiiite iiiatrices, the iiiiiiiher of iioiicoiivex constraints is given l,y
713
- 71,(?1. - 1 ) / 2
i= 1
211y11
AA!2x(EA) 5 y
5 278 (3.2)
3(1) E V ; C + O A O
Hence. we liave
7,yoI,t,
= inf{ y
>0
I C + O A 8 5 270
8 E V. (E, A )
E 2,
} (3.3)
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CE
V A
ED
s.t.
V ,deiioted by
V ,aiid k depends on the way to constnick relaxation problems aiid is given by k = 2 for [4] a n d
k = 4 for [2, 101. I t is readily seen that, the relaxation problem iisiiig tlie matrix-based hoiiiidiiig can be
solved iiiore efficiently than the ones iisiiig tlie elenleiitwise lmiiiding, hecaiise the miinher of variables aiid tlie
matrix size of LMIs are Imth iiiiicli less than those for
the element-wise hoiiiidiiig. Coiiseqiieiitly, we conchide
that tlie relaxation iisiiig tlie matrix-based lmiiiding is
better than the element-wise lmiiiidiiig at least for solviiig m e coiivex siibprol~lem.
C E
(3.5)
0relaxation
for given 0 E D aiid
E (1, m). With these definitions, t,he following leiiiiiia provides a coiivex optimization problem to find iipper aiid lower boiiiids on
r(Be,,) for any given 0 aiid K, E (0, 1)[12, 131:
EW
MB
element-wise
matrix base
K,
increase of
@ iiiatrix size
(113
w) I
3.3 Discussions
Table 3.1 compares tlie matrix sizes of LMIs and the
iiiinil>er of varialdes for tlie relaxation problems by 11siiig the element-wise (EW) boiiiidiiig aiid tlie iiiatrixbased ( M B ) boiiiidiiig, where the case V = S,, is coiisidered for simplicity. n, correspoiids t o tlie size of
oil
N,,,,, := 0
[ :=
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1of scalar
((
l/t))
,rrar%ablcs in, C E
FH
YH [13]
- Avg.
- - - CPU-time
- - - - - -(s)
--
total/one iteration
43.3
269.G/G.23
13.5
18.9G/1.40
4.2.1 Randomly generated systems: Coiisider tlie constantly scaled 31, problem with one scaler
scaling parameter, i.e., V = { diag(aI, I) I CT > O }. In
this case, the problem contains one hiaffine constraint
(TA, (a E E, X E 3).We siippose that tlie entire domain is restricted to (cr, A ) E [O.O5, 201 x [&OS, 20).
PI
tf
< fl
of Probleiiis
>
35
!
45
55
65
75
85
95
V = { block diag(C,
12)
1 C E PSZ }
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5 Conclusion
CPU-time ( s )
l/E
Fig. 4.2: Iteration
1/E
Fig. 4.3: CPU-time
References
[l] S.P. Boyd e t al., Linwar Matriz ln,eq~u,al%tie.s
in
System, an,d Con,trol Th.eory, SIAM, 1994.
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[3] Hisaya Fiijioka and Koliji Yaiiiasliita, Proc. IEEE
CDC, 440--445, 199G.
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[ 5 ] H. Koiiiio aiid T . Kiiiio, Mathematical Programming, 5 6 : 51 -64. 1992.
[GI
T. Kiiiio aiid H. Koiiiio, Journal of Global Optimization, 1: 2G7--286, 1991.
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H m d h o o k s in, Operat%on,.s
g e m e n t S c i m c e , 1, Elsevier, 1989.
[8] A. Packard et al., Proc. IEEE CDC, 1245-1250,
1991.
[9] M.G. Safoiiov, K.G. Goli, aiid J.H. Ly, Proc.
ACC, 45/49, 1994.
[lo] Y. Takaiio, T. Wataiiahe aiid K. Yasuda, Trms.
SICE, 33(7):701-708, 1997 (in Japanese).
[ll] H.D. Tiiaii aiid S. Hosoe, Proc. ACC, 350--355,
1997.
[12] Y. Yaiiiada, Global Optiiiiizatioii for Robiist
Control Synthesis based oii tlie Matrix Prodiict Eigeiivaliie Problem, Pli. D. dissertation, Tokyo Inst. of
Tecli., 1998.
[13] Y. Yaiiiada and S. Hara, Proc. IEEE CDC, 492G4931, 1997.
[14] Y. Yaiiiada aiid S. Hara, IEEE Trans. AC., AC43(2):191-203, 1998.
[15] Y. Yaiiiada, S. Hara, aiid H. Fiijioka, Proc. ACC,
427 430, 1995.
Altlioiigli the difference of tlie iteration iiiiiiiher hetween t,lie t,wo algorit,hiiis is not big, there is a sigiiificant difference of the CPU-time shown in Fig. 4.3 aiid
Table 4.2 I d o w , which compare the total CPU-time vs.
I/E aiid the average CPU-time per oiie iteration. respectively. T h e difference is caiised by tlie iiiatrix size
of LMIs aiid tlie iiiiiiiher of variables in each convex
siibprobleiii, i.e., we have to join four additional linear
constrailits per oiie iioiicoiivex constraint to solve oiie
lower hoiiiid problem for the F H algorithm. Siiice tlie
iiiiiiiher of iioiicoiivex constraints is seven for this example, the iiiatrix size of LMI becoiiies G4 for tlie F H
algorithm, althoiigh that in the YH algorithm is given
hy 34.
Algorithm
FH
YH
11.7
Tlie iiiatrix size of LMIs aiid tlie iiuiiiber of variables in oiie convex sitbprohleiii for the matrixbased boiiiidiiig is much less than t h a t for
the eleiiieiit-wise bounding. Coiisequeiitly, t h e
speed to solve oiie siihprohlem for the iiiatrixbased boiiiidiiig is much faster than t h a t for the
element-wise boiiiicliiig.
A iiiiiiiber of numerical experiiiients ilhistrates
that tlie perforiiiaiice of the algorithm using tlie
matrix-based boiiiidiiig perform is better even in
tlie actual case.
1.77
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