extend to RFC3066bis :D
[scilab.git] / scilab / modules / optimization / help / en_US / lmisolver.xml
1 <?xml version="1.0" encoding="ISO-8859-1" standalone="no"?>
2 <!DOCTYPE MAN SYSTEM "../../../../modules/helptools/help.dtd">
3 <MAN>
4   <LANGUAGE>eng</LANGUAGE>
5   <TITLE>lmisolver</TITLE>
6   <TYPE>Scilab Function</TYPE>
7   <DATE>$LastChangedDate$</DATE>
8   <SHORT_DESCRIPTION name="lmisolver"> linear matrix inequation solver</SHORT_DESCRIPTION>
9   <CALLING_SEQUENCE>
10     <CALLING_SEQUENCE_ITEM>[XLISTF[,OPT]] = lmisolver(XLIST0,evalfunc [,options])  </CALLING_SEQUENCE_ITEM>
11   </CALLING_SEQUENCE>
12   <PARAM>
13     <PARAM_INDENT>
14       <PARAM_ITEM>
15         <PARAM_NAME>XLIST0</PARAM_NAME>
16         <PARAM_DESCRIPTION>
17           <SP>: a list of containing initial guess (e.g. <VERB>XLIST0=list(X1,X2,..,Xn)</VERB>)</SP>
18         </PARAM_DESCRIPTION>
19       </PARAM_ITEM>
20       <PARAM_ITEM>
21         <PARAM_NAME>evalfunc</PARAM_NAME>
22         <PARAM_DESCRIPTION>
23           <SP>: a Scilab function (&quot;external&quot; function with specific
24     syntax)</SP>
25           <P>
26     The syntax the function <VERB>evalfunc</VERB> must be as follows:
27   </P>
28           <P><VERB>[LME,LMI,OBJ]=evalfunct(X)</VERB> where <VERB>X</VERB> is a list of matrices, <VERB>LME, LMI</VERB> are lists and <VERB>OBJ</VERB> a real scalar.
29   </P>
30         </PARAM_DESCRIPTION>
31       </PARAM_ITEM>
32       <PARAM_ITEM>
33         <PARAM_NAME>XLISTF</PARAM_NAME>
34         <PARAM_DESCRIPTION>
35           <SP>: a list of matrices (e.g. <VERB>XLIST0=list(X1,X2,..,Xn)</VERB>)</SP>
36         </PARAM_DESCRIPTION>
37       </PARAM_ITEM>
38       <PARAM_ITEM>
39         <PARAM_NAME>options</PARAM_NAME>
40         <PARAM_DESCRIPTION>
41           <SP>: optional parameter. If given, <VERB>options</VERB> is  a real row vector with 5 components <VERB>[Mbound,abstol,nu,maxiters,reltol]</VERB></SP>
42         </PARAM_DESCRIPTION>
43       </PARAM_ITEM>
44     </PARAM_INDENT>
45   </PARAM>
46   <DESCRIPTION>
47     <P><VERB>lmisolver</VERB> solves the following problem:</P>
48     <P>
49     minimize <VERB>f(X1,X2,...,Xn)</VERB> a linear function of Xi's</P>
50     <P>
51     under the linear constraints:
52     <VERB>Gi(X1,X2,...,Xn)=0</VERB> for i=1,...,p and LMI (linear matrix
53     inequalities) constraints:</P>
54     <P><VERB>Hj(X1,X2,...,Xn) &gt; 0</VERB> for j=1,...,q</P>
55     <P>
56     The functions f, G, H are coded in the Scilab function <VERB>evalfunc</VERB>
57     and the set of matrices Xi's in the list X (i.e.
58     <VERB>X=list(X1,...,Xn)</VERB>).</P>
59     <P>
60     The function <VERB>evalfun</VERB> must return in the list <VERB>LME</VERB> the matrices
61     <VERB>G1(X),...,Gp(X)</VERB> (i.e. <VERB>LME(i)=Gi(X1,...,Xn),</VERB> i=1,...,p).
62     <VERB>evalfun</VERB> must return in the list <VERB>LMI</VERB> the matrices
63     <VERB>H1(X0),...,Hq(X)</VERB> (i.e. <VERB>LMI(j)=Hj(X1,...,Xn)</VERB>, j=1,...,q). 
64     <VERB>evalfun</VERB> must return in <VERB>OBJ</VERB> the value of <VERB>f(X)</VERB>
65     (i.e. <VERB>OBJ=f(X1,...,Xn)</VERB>).</P>
66     <P><VERB>lmisolver</VERB>  returns in <VERB>XLISTF</VERB>, a list of real matrices,
67     i. e. <VERB>XLIST=list(X1,X2,..,Xn)</VERB> where the Xi's solve the LMI
68     problem:</P>
69     <P>
70     Defining <VERB>Y,Z</VERB> and <VERB>cost</VERB> by:</P>
71     <P><VERB>[Y,Z,cost]=evalfunc(XLIST)</VERB>, <VERB>Y</VERB> is a list of zero matrices, 
72     <VERB>Y=list(Y1,...,Yp)</VERB>, <VERB>Y1=0, Y2=0, ..., Yp=0</VERB>.</P>
73     <P><VERB> Z</VERB> is a list of square symmetric matrices, 
74     <VERB> Z=list(Z1,...,Zq) </VERB>, which are semi positive definite
75     <VERB> Z1&gt;0, Z2&gt;0, ..., Zq&gt;0</VERB> (i.e. <VERB>spec(Z(j))</VERB> &gt; 0),</P>
76     <P><VERB>cost</VERB> is minimized.</P>
77     <P><VERB>lmisolver</VERB> can also solve LMI problems in which the <VERB>Xi's</VERB> 
78     are not matrices but lists of matrices. More details are given in the 
79     documentation of LMITOOL.</P>
80   </DESCRIPTION>
81   <EXAMPLE>
82 <![CDATA[
83 //Find diagonal matrix X (i.e. X=diag(diag(X), p=1) such that
84 //A1'*X+X*A1+Q1 < 0, A2'*X+X*A2+Q2 < 0 (q=2) and trace(X) is maximized 
85 n=2;A1=rand(n,n);A2=rand(n,n);
86 Xs=diag(1:n);Q1=-(A1'*Xs+Xs*A1+0.1*eye());
87 Q2=-(A2'*Xs+Xs*A2+0.2*eye());
88 deff('[LME,LMI,OBJ]=evalf(Xlist)','X=Xlist(1),LME=X-diag(diag(X));...
89 LMI=list(-(A1''*X+X*A1+Q1),-(A2''*X+X*A2+Q2)),OBJ= -sum(diag(X))  ');
90 X=lmisolver(list(zeros(A1)),evalf);X=X(1)
91 [Y,Z,c]=evalf(X)
92  ]]>
93   </EXAMPLE>
94   <SEE_ALSO>
95     <SEE_ALSO_ITEM>
96       <LINK>lmitool</LINK>
97     </SEE_ALSO_ITEM>
98   </SEE_ALSO>
99 </MAN>