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KYPD: A Solver for Semidefinite Programs Derived from the Kalman-Yakubovich-Popov Lemma
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.
2004 (Engelska)Ingår i: Proceedings of the 2004 IEEE International Symposium on Computer Aided Control System Design, 2004, s. 1-6Konferensbidrag, Publicerat paper (Refereegranskat)
Abstract [en]

Semidenite programs derived from the Kalman-Yakubovich-Popov lemma are quite common in control and signal processing applications. The programs are often of high dimension making them hard or impossible to solve with general-purpose solvers. KYPD is a customized solver for KYP-SDPs that utilizes the inherent structure of the optimization problem thus improving efficiency signicantly.

Ort, förlag, år, upplaga, sidor
2004. s. 1-6
Nyckelord [en]
Semidefinite programming, Kalman-Yakubovich-Popov lemma
Nationell ämneskategori
Teknik och teknologier Reglerteknik
Identifikatorer
URN: urn:nbn:se:liu:diva-24089DOI: 10.1109/CACSD.2004.1393841Lokalt ID: 3655ISBN: 0-7803-8636-1 (tryckt)OAI: oai:DiVA.org:liu-24089DiVA, id: diva2:244406
Konferens
2004 IEEE International Symposium on Computer Aided Control System Design, Taipei, Taiwan, September, 2004
Tillgänglig från: 2009-10-07 Skapad: 2009-10-07 Senast uppdaterad: 2013-10-09
Ingår i avhandling
1. Optimization Algorithms for System Analysis and Identification
Öppna denna publikation i ny flik eller fönster >>Optimization Algorithms for System Analysis and Identification
2004 (Engelska)Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
Abstract [en]

Optimization is a powerful and frequently used tool in many fields of research. In this thesis two relevant and important problems from robust control system analysis and system identification are solved using optimization algorithms.

Many of the most important examples of optimization in control and signal processing applications involve semidefinite programming with linear matrix inequality constraints derived from the Kalman-Yakubovich-Popov lemma. For realistic examples these semidefinite programs have a huge number of variables making them intractable for general purpose solvers. Three customized algorithms for this class of optimization problems are presented and compared to each other. Preprocessing of the semidefinite program that may improve numerical issues are discussed. This preprocessing also makes it possible to relax some assumptions usually made on the semidefinite program. Moreover, it is shown how to use the algorithms for other stability regions than the left half plane.

Even though missing data is quite common in many control and signal processing applications, most system identification algorithms do not address this phenomenon in a good way. This often results in parameter estimates with a large bias. In this thesis the maximum likelihood criterion for identication of Autoregressive models with an exogenous signal subject to missing data is investigated. Two algorithms for identifying the models are presented and are compared to the expectation maximization algorithm. From optimality conditions is computed estimates of the asymptotic variance of the parameter estimates. In addition, it is discussed how a criterion equivalent to the maximum likelihood criterion opens up the possibility to apply a wide range of other optimization algorithms to the estimation problem. It is also shown what property of the data it is that determines why one model is more likely to have produced the data than another. Finally, the multiple optima problem is addressed.

Ort, förlag, år, upplaga, sidor
Linköping: Linköping University, 2004. s. 190
Serie
Linköping Studies in Science and Technology. Dissertations, ISSN 0345-7524 ; 919
Nationell ämneskategori
Reglerteknik
Identifikatorer
urn:nbn:se:liu:diva-98177 (URN)91-85297-19-4 (ISBN)
Disputation
2005-01-14, Visionen, Hus B, Campus Valla, Linköpings universitet, Linköping, 10:15 (Engelska)
Handledare
Forskningsfinansiär
Vetenskapsrådet
Tillgänglig från: 2013-10-09 Skapad: 2013-09-30 Senast uppdaterad: 2013-10-09Bibliografiskt granskad

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Wallin, RagnarHansson, Anders
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Teknik och teknologierReglerteknik

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