论文标题

LMI分析中心的欧几里得距离边界使用兰伯特函数的新型结合

Euclidean Distance Bounds for LMI Analytic Centers using a Novel Bound on the Lambert Function

论文作者

Roig-Solvas, Biel, Sznaier, Mario

论文摘要

线性矩阵不平等(LMI)在现代控制理论以及科学和工程领域的其他各个领域中无处不在。它们的分析中心,即这些LMI跨越可行集合的最大决定因素,是解决统计,通信,几何和控制中许多众所周知的问题的解决方案,可以通过半决赛程序(SDP)将其近似为任意精度。这些近似值的质量是相对于这些SDP的精确解决方案和近似解决方案的对数确定因素的差异来衡量的,这是直接来自半芬矿编程的二元性理论的数量。但是,在许多应用程序中,相关参数是LMI参数$ x $的条目的函数。在这些情况下,要开发基于这些参数的误差来量化近似解决方案质量的指标,这是由于所有矩阵条目的非线性相互作用而无法捕获的。在这项工作中,我们在次优的解决方案之间的Frobenius规范误差$ x_f $和确切的优化器$ x _*$最大确定性问题的$ x _*$之间开发了上限,该指标将直接转换为$ x $的输入误差,从而向应用程序的相关参数提供。我们表明,这些界限可以通过使用兰伯特函数$ W(x)$来表示,即公式的解决方案$ w(x)e^{w(x)} = x $,并为其一个分支之一提供新颖的界限,以生成在Euclidean距离上与LMI分析中心的有效闭合形式的界限。最后,我们在内部方法终止标准的背景下在数值上测试这些界限的质量。

Linear matrix inequalities (LMIs) are ubiquitous in modern control theory, as well as in a variety of other fields in science and engineering. Their analytic centers, i.e. the maximum determinant elements of the feasible set spanned by these LMIs, are the solution of many well-known problems in statistics, communications, geometry, and control and can be approximated to arbitrary precision by semidefinite programs (SDPs). The quality of these approximations is measured with respect to the difference in log-determinant of both the exact and the approximate solution to these SDPs, a quantity that follows directly from the duality theory of semidefinite programming. However, in many applications the relevant parameters are functions of the entries of the LMI argument $X$. In these cases it is of interest to develop metrics that quantify the quality of approximate solutions based on the error on these parameters, something that the log-determinant error fails to capture due to the non-linear interaction of all the matrix entries. In this work we develop upper bounds on the Frobenius norm error between suboptimal solutions $X_f$ and the exact optimizer $X_*$ of maximum determinant problems, a metric that provides a direct translation to the entry-wise error of $X$ and thus to the relevant parameters of the application. We show that these bounds can be expressed through the use of the Lambert function $W(x)$, i.e. the solution of the equation $W(x) e^{W(x)}= x$, and derive novel bounds for one of its branches to generate efficient closed-form bounds on the Euclidean distance to the LMI analytic center. Finally, we test the quality of these bounds numerically in the context of interior point methods termination criteria.

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