求助 matlab中LMI工具箱gevp的詳細用法，最好舉個程序例子，萬分感激

30/10/10 13:51 Filed in: Matlab Code

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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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