Question

求助 matlab中LMI工具箱gevp的详细用法，最好举个程序例子，万分感激

Answer 1

Solving gevp Problem in Matlab
30/10/10 13:51 Filed in: Matlab Code
http://arashfotouhi.com/files/92158ff4aad04c216118e30d5a6fbc71-0.html
In order to solve the following optimization problem:

minimize a
subject to
[A’P+PA+C-aP,(BP+CQ)’;
BP+CQ,-I] < 0
&
P=P’>0

in Matlab use the code below:

%Solving a generalized eigenvalue problem in Matlab
%Date: October 30, 2010
%Author: Arash Fotouhi

setlmis([]);

p=lmivar(1,[n 1]);
q=lmivar(2,[m m]);
y=lmivar(1,[n 1]);

lmiterm([1 1 1 0],0);
lmiterm([-1 1 1 p],1,1);

lmiterm([2 1 1 p],1,A,'s');
lmiterm([2 1 1 0],C);
lmiterm([2 2 1 p],B,1);
lmiterm([2 2 1 q],1,C);
lmiterm([2 2 2 0],-eye(m));
lmiterm([-2 1 1 y],1,1);
lmiterm([-2 2 1 0],0);
lmiterm([-2 2 2 0],0);

lmiterm([3 1 1 y],1,1);
lmiterm([-3 1 1 p],1,1);

lmis=getlmis;
[lambda,decvars]=gevp(lmis,1);

Popt = dec2mat(lmis,decvars,p);
Qopt = dec2mat(lmis,decvars,q);
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