PENOPT

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Contents

Introduction

Overview

Welcome to the TOMLAB /PENOPT User's Guide. TOMLAB /PENOPT includes either PENSDP or PENBMI (depends on the license) and interfaces between The MathWorks' MATLAB and the solver packages from PENOPT GbR. The package includes one of the following solvers:

PENBMI - For large, sparse semidefinite programming problems with linear and bilinear matrix inequality constraints.

PENSDP - For large, sparse linear semidefinite programming problems with linear constraints. It also solves feasibility problems for systems of linear matrix inequalities.

Please visit http://tomopt.com/tomlab/products/pensdp/, http://tomopt.com/tomlab/products/penbmi/ and http://www.penopt.com for more information.

For PENBMI two different input formats may be used for the problem formulation: The PENBMI Structural Format, an extension of the PENSDP format for linear problems, and the TOMLAB format for semidefinite prob- lems. Apart from solving the BMI problem, the user can check feasibility of the system of linear and bilinear matrix inequalities.

For PENSDP three different input formats may be used for problem formulation: The standard sparse SDPA format used in SDPLIB, the PENSDP Structural Format, and the TOMLAB format for semidefinite problems.

Problems defined in SeDuMi Matlab format may easily be converted to SDPA format and solved by TOMLAB /PENSDP. The conversion routine, called writesdp, was written by Brian Borcher.

Apart from solving the SDP problem, the user can check feasibility of the system of linear matrix inequalities. The interface between TOMLAB /PENOPT, Matlab and TOMLAB consists of two layers. The first layer gives direct access from Matlab to PENOPT, via calling a Matlab function that calls a pre-compiled MEX file (DLL under Windows, shared library in UNIX) that defines and solves the problem in PENOPT. The second layer is a Matlab function that takes the input in the TOMLAB format, and calls the first layer function. On return the function creates the output in the TOMLAB format.

Contents of this Manual

Prerequisites

In this manual we assume that the user is familiar with semidefinite programming, TOMLAB and the Matlab language.

Using the Matlab Interface

The main routines in the two-layer design of the interface are shown in #Table: The interface routines.. Page and section references are given to detailed descriptions on how to use the routines.

Table: The interface routines.

FunctionDescription
penbmiTLThe layer two interface routine called by the TOMLAB driver routine tomRun. This routine then calls penbmi.m, which in turn calls penbmi.dll.
penfeas_bmiThe layer two TOMLAB interface routine that calls pen.m. Converts the input P rob format before calling penbmiQ.dll and converts back to the output Result structure.
pensdpTLThe layer two interface routine called by the TOMLAB driver routine tomRun. This routine then calls pensdp.m, which in turn calls pensdp.dll.
penfeas_sdpThe layer two TOMLAB interface routine that calls pen.m. Converts the input P rob format before calling pensdp.dll and converts back to the output Result structure.

The PENOPT control parameters are possible to set from Matlab.

They can be set as inputs to the interface routine penbmiTL for example and the others. The user sets fields in a structure called Prob.PENOPT. The following example shows how to set the maximum number of overall iterations.

Prob.PENOPT.ioptions(2) = 200; % Setting maximum number of iterations

PENOPT Solver Reference

The PENOPT solvers are a set of solvers that were developed by the PENOPT GbR. Table 2 lists the solvers included in TOMLAB /PENOPT. The solvers are called using a set of MEX-file interfaces developed as part of TOMLAB. All functionality of the PENOPT solvers are available and changeable in the TOMLAB framework in Matlab.

Detailed descriptions of the TOMLAB /PENOPT solvers are given in the following sections. Also see the M-file help for each solver.

Additional solvers reference guides for the TOMLAB /PENOPT solvers are available for download from the TOM- LAB home page http://tomopt.com. Extensive TOMLAB m-file help is also available, for example help penbmiTL in Matlab will display the features of the PENBMI solver using the TOMLAB format.

TOMLAB /PENOPT solves

The linear semi-definite programming problem with linear matrix inequalities is defined as


\begin{array}{rccccl}
\min\limits_{x} & f(x) = {c^T}x \\
& \\
s/t & x_{L}   & \leq & x  & \leq & x_{U}  \\
& b_{L}   & \leq & Ax & \leq & b_{U} \\
& Q^{i}_0 + \sum_{k=1}^{n} Q^{i}_{k} x_{k} \preccurlyeq 0,\qquad i=1,\ldots,m\\
\end{array}

where c, x, x_L, x_U \in \mathbb{R}^n, A \in \mathbb{R}^{m_l \times n}, b_L,b_U \in \mathbb{R}^{m_l} and Q^{i}_{k} are symmetric matrices of similar dimensions in each constraint i. If there are several LMI constraints, each may have it's own dimension.

The linear semi-definite programming problem with linear matrix inequalities (sdp) is defined as are symmetric matrices of similar dimensions in each constraint i. If there are several LMI constraints, each may have it's own dimension.

The linear semi-definite programming problem with bilinear matrix inequalities (bmi) 
Q^{i}_0 + \sum_{k=1}^{n} Q^{i}_{k} x_{k} + \sum_{k=1}^{n} \sum_{l=1}^{n} x_{k} x_{l} K^{i}_{kl} \preccurlyeq 0

The MEX solvers pensdp and penbmi treat sdp and bmi problems, respectively. These are available in the TOMLAB /PENSDP and TOMLAB /PENBMI toolboxes.

The MEX-file solver pensdp available in the TOMLAB /PENSDP toolbox implements a penalty method aimed at large-scale dense and sparse sdp problems. The interface to the solver allows for data input in the sparse SDPA input format as well as a TOMLAB specific format.

The MEX-file solver penbmi available in the TOMLAB /PENBMI toolbox is similar to pensdp, with added support for the bilinear matrix inequalities.

The add-on toolbox TOMLAB /PENOPT solves linear semi-definite programming problems with linear and bilinear matrix inequalities. The solvers are listed in Table 2. They are written in a combination of Matlab and C code.

Solvers in TOMLAB /PENOPT
FunctionDescription
penbmiSparse and dense linear semi-definite programming using a penalty algorithm.
penfeas_sdpFeasibility check of systems of linear matrix inequalities, using pensdp.
pensdpSparse and dense linear semi-definite programming using a penalty algorithm.
penfeas_sdpFeasibility check of systems of linear matrix inequalities, using pensdp.

PENBMI

TOMLAB /PENBMI was developed in co-operation with PENOPT GbR. The following pages describe the solvers and the feasibility checks.

penfeas_bmi

Purpose

penfeas_bmi checks the feasibility of a system of bilinear matrix inequalities (BMI):


A^{0}_i +
\sum{k=1}{n} A^{(i)}_k x_k +
\sum{k=1}{n}\sum{l=1}{n} x_{k} x_{l} K^{(i)}_{kl}
\preccurlyeq  0, \qquad k=1,2,\ldots,m

with symmetric matrices A_{k}^{i}, K_{kl}^{i} \in \mathbb{R}^{d_l \times d_l},k,l=1,\ldots,n,i=1,\ldots,m

Calling Syntax

[ifeas, feas, xfeas] = penfeas bmi(p, x_0, options)

Description of Inputs

InputDescription
pPENBMI format structure, e.g. from sdpa2pen.
x_0Inital guess of the feasible point. Default = 0.
optionsOptional 3 × 1 vector. May be omitted, in which case the defaults below are used.
options(1)Output level of PENBMI solver. Default = 0.
options(2)Upper bound on \|x\|_{\infty}. Default = 1000.

If < 0, no box bounds are applied.

options(3)Weighting parameter in the objective function. Default 10-4 .

Description of Outputs

OutputDescription
ifeasFeasibility of the system:
0System is strictly feasible
1System is feasible but not necessarily strictly feasible
feasValue of the minimized maximal eigenvalue of BMI.
xfeasFeasible point

Algorithm

The feasibility of the system of BMI's is checked by solving the following bmi problem:


\begin{array}{ccccccl}
\min\limits_{x\in\mathbb{R}^{n},\lambda\in\mathbb{R}} &
f(x,\lambda) = \lambda + w \|x\|_2^2\\
\end{array}


\begin{array}{ccccccl}
\text{s.t.} - x_{bound} \leq x \leq x_{bound} \\
A_0^i + \sum_{k=1}^{n} A_{k}^{i} x_{k}
\preccurlyeq \lambda I_{n \times n},i=1,\ldots,m \\
\end{array}

where xboundis taken from input argument options(2), or \infty if options(2) < 0.

When λ < 0, the system is strictly feasible; when λ = 0, the system is feasible but has no interior point. When λ > 0 for any xbound, the system may be infeasible.

As the semidefinite problem solved is nonconvex and penbmiQ is a local method, it cannot be guaranteed that the solution λ is a global minimum. Consequently, the (local) optimum λtoc found by penbmiQ may be a positive number (indicating infeasibility), although the system is feasible (i.e., the global optimum λglob < 0). In such a case, the user may try various initial points x _0, and also different weighting parameter w (option(3)).

In practice, the conditions on feasibility are as follows: λ < − 10 − 6 means strict feasibility, | λ | < 10 − 6 means feasibility (not strict) and λ > 10 − 6 indicates infeasibility. The user can decide by the actual value of the output parameter feas (including the optimal λ).

For the case when the BMI system is unbounded, we have to add artificial bounds on x, otherwise PENBMI might diverge. Of course, it may happen that the feasible point lies outside these bounds. In this case penfeas_bmi claims infeasibility, although the system is actually feasible. When in doubts, the user may try to gradually increase xbound (parameter options(2)).

On the other hand, for very ill-conditioned and unbounded systems, the default bound 1000 may be too large and PENBMI may not converge. In this case, the user is advised either to increase the weighting parameter w (to 0.01 and bigger) or to decrease the bound (parameter options(2)) to a smaller number (100-1).

M-files Used

pen.m

MEX-files Used

penbmiQ

See Also

penfeas sdp.m

penbmiTL

Purpose

Solve (linear) semi-definite programming problems.

penbmiTL solves problems of the form


\begin{array}{ccccccl}
\min\limits_{x} & f(x) = c^{T} x & \\
s/t & x_L & \leq & x  & \leq & x_U & \\
{}  & b_L & \leq & Ax & \leq & b_U & \\
\end{array}


Q^{(0)}_i + \sum{k=1}{n} Q^{(i)}_k x_k +
\sum{k=1}{n}\sum{l=1}{n} x_{k} x_{l} K^{(i)}_{kl}
\preceq  0, \qquad k=1,2,\ldots,m

where x,x_L,x_U \in \mathbb{R}^{n},\, A \in \mathbb{R}^{m_l \times n},\, b_L,b_U
\in \mathbb{R}^{m_l} and Q^{(i)}_k are sparse or dense symmetric matrices. The matrix sizes may vary between different matrix inequalities but must be the same in each particular constraint.

Calling Syntax

Result = tomRun('penbmi',Prob,...)

Description of Inputs

Prob Problem description structure. The following fields are used:

InputDescription
QP.cVector with coefficients for linear objective function.
ALinear constraints matrix.
b_LLower bound for linear constraints.
b_UUpper bound for linear constraints.
x_LLower bound on variables.
x_UUpper bound on variables.
x_0Starting point.
PENOPTStructure with special fields for SDP parameters. Fields used are:
LMIStructure array with matrices for the linear terms of the matrix inequalities.

See Examples on page 17 for a discussion of how to set this correctly.

ioptions8 × 1 vector with options, defaults in (). Any element set to a value less than zero will be replaced by a default value, in some cases fetched from standard Tomlab parameters.
ioptions(1)0/1: use default/user defined values for options.
ioptions(2)Maximum number of iterations for overall algorithm (50). If not given, Prob.optParam.MaxIter is used.
ioptions(3)Maximum number of iterations in unconstrained optimization (100). If not given, Prob.optParam.MinorIter is used.
ioptions(4)Output level: 0/(1)/2/3 = silent / summary / brief / full.
ioptions(5)(0)/1: Check density of Hessian / Assume dense.
ioptions(6)(0)/1: (Do not) use linesearch in unconstrained minimization.
ioptions(7)(0)/1: (Do not) write solution vector to output file.
ioptions(8)(0)/1: (Do not) write computed multipliers to output file.
foptions1 × 7 vector with options, defaults in ().
foptions(1) Scaling factor linear constraints; must be positive. (1.0).
foptions(2)Restriction for multiplier update; linear constraints (0.7).
foptions(3)Restriction for multiplier update; matrix constraints (0.1).
foptions(4)Stopping criterium for overall algorithm (10-7). Tomlab equivalent: Prob.optParam.eps_f.
foptions(5)Lower bound for the penalty parameters (10-6 ).
foptions(6)Lower bound for the multipliers (10-14).
foptions(7)Stopping criterium for unconstrained minimization (10-2).

Description of Outputs

Result Structure with result from optimization. The following fields are changed:

OutputDescription
x_kOptimal point.
f_k Function value at optimum.
g_k Gradient value at optimum, c.
v_k Lagrange multipliers.
x_0 Starting point.
f_0 Function value at start.
xState State of each variable, described in the TOMLAB User's Guide.
Iter Number of iterations.
ExitFlag 0: OK.

1: Maximal number of iterations reached.

2: Unbounded feasible region.

3: Rank problems. Can not find any solution point.

4: Illegal x 0.

5: No feasible point x 0 found.

InformIf ExitF lag > 0, I nf orm = ExitF lag.
QP.BOptimal active set. See input variable QP.B.
SolverSolver used.
SolverAlgorithmSolver algorithm used.
FuncEvNumber of function evaluations. Equal to Iter. ConstrEv Number of constraint evaluations. Equal to Iter. Prob Problem structure used.

Description

pensdp implements a penalty algorithm based on the PBM method of Ben-Tal and Zibulevsky. It is possible to give input data in three different formats:

  • Standard sparse SPDA format
  • PENSDP Structural format
  • Tomlab Quick format

In all three cases, problem setup is done via sdpAssign.

See Also

sdpAssign.m, sdpa2pen.m, sdpDemo.m, tomlab/docs/penbmi.pdf

Warnings

Currently penbmi does not work well solving problems of sdp type.

Examples

Setting the LMI constraints is best described by an example. Assume 3 variables x = (x1, x2 , x3) and 2 linear matrix inequalities of sizes 3 × 3 and 2 × 2 respectively, here given on block-diagonal form:


\left(
\begin{array}{c|c}
\begin{array}{ccc} 
0  \\
& 0 \\
&& 0
\end{array}\\ 
\hline & \begin{array}{cc}
0 \\ 
& 1 
\end{array}
\end{array}
\right) +
\left(
\begin{array}{c|c}
\begin{array}{ccc} 
2 & -1 & 0 \\ & 2 & 0 \\ 
&& 2\end{array}
\\ \hline & \begin{array}{cc} 
1 \\ & -1 
\end{array}
\end{array}
\right) x_1
+ \left(
\begin{array}{c|c}
\begin{array}{ccc} 
0  \\ & 0 \\ && 0
\end{array}
\\ \hline & \begin{array}{cc} 
3 \\
& -3 
\end{array}
\end{array}
\right) x_2 +
\left(
\begin{array}{c|c}
\begin{array}{ccc} 2 & 0 &-1 \\ & 2 & 0 \\ && 2\end{array}
\\ \hline & \begin{array}{cc} 0 \\ & 0 \end{array}
\end{array}
\right)x_3  \preceq 0

The LMI structure could then be initialized with the following commands:

%  Constraint 1
>> LMI(1,1).Q0 = [];
>> LMI(1,1).Q  = [2 -1  0 ; ...
                  0  2  0 ; ...
                  0  0  2];
>> LMI(1,2).Q  = [];
>> LMI(1,3).Q  = [2  0 -1 ; ...
                  0  2  0 ; ...
                  0  0  2];

%  Constraint 2, diagonal matrices only
>> LMI(2,1).Q0 = diag( [0, 1] );
>> LMI(2,1).Q  = diag( [1,-1] );
>> LMI(2,2).Q  = diag( [3,-3] );
>> LMI(2,3).Q  = [ ];

%  Use LMI in call to sdpAssign:
>> Prob=sdpAssign(c,LMI,...)

%  ... or set directly into Prob.PENSDP.LMI field:
>> Prob.PENSDP.LMI = LMI;

Some points of interest:

  • The LMI structure must be of correct size. This is important if a LMI constraint has zero matrices for the highest numbered variables. If the above example had zero coefficient matrices for x3 , the user would have to set LMI(1,3).Q = [] explicitly, so that the LMI structure array is really 2 × 3. (LMI(2,3).Q would automatically become empty in this case, unless set otherwise by the user).
  • MATLAB sparse format is allowed and encouraged.
  • Only the upper triangular part of each matrix is used (symmetry is assumed).

Input in Sparse SDPA Format is handled by the conversion routine sdpa2pen. For example, the problem defined in tomlab/examples/arch0.dat-s can be solved using the following statements:

>> p = sdpa2pen('arch0.dat-s')
  p =
vars: 174
fobj: [1x174 double]
constr: 174
ci: [1x174 double]
bi_dim: [1x174 double]
bi_idx: [1x174 double]
bi_val: [1x174 double]
mconstr: 1
ai_dim: 175
ai_row: [1x2874 double]
ai_col: [1x2874 double]
ai_val: [1x2874 double]
msizes: 161
ai_idx: [175x1 double]
ai_nzs: [175x1 double]
x0: [1x174 double]
ioptions: 0
foptions: []

>> Prob   = sdpAssign(p);          % Can call sdpAssign with only 'p' structure
>> Result = tomRun('pensdp',Prob); % Call tomRun to solve problem

PENSDP

TOMLAB /PENSDP was developed in co-operation with PENOPT GbR. The following pages describe the solvers and the feasibility checks.

penfeas_sdp

Purpose

penfeas_sdp checks the feasibility of a system of linear matrix inequalities (LMI):


A_0^i + \sum_{k=1}^{n} A_{k}^{i} x_{k} \preccurlyeq 0, \qquad i=1,\ldots,m

with symmetric matrices


A_{k}^{i} \in \mathbb{R}^{d_l \times d_l}, \, k=1,\ldots,n, i=1,\ldots,m

and


x \in \mathbb{R}^{n}

Calling Syntax

[ifeas, feas, xfeas] = penfeas sdp(p, options)

Description of Inputs

InputDescription
pPENSDP format structure, e.g. from sdpa2pen.
optionsOptional 2 × 1 vector. May be omitted, in which case the defaults below are used.
options(1)Output level of PENSDP solver. Default = 0.
options(2)Upper bound on x 8 . Default = 1000.

If < 0, no box bounds are applied.

Description of Outputs

OutputDescription
ifeasFeasibility of the system:
0System is strictly feasible
1System is feasible but not necessarily strictly feasible
feasValue of the minimized maximal eigenvalue of LMI.
xfeasFeasible point

Algorithm

The feasibility of the system of LMI's is checked by solving the following sdp problem:


\min\limits_{x} \in \mathbb{R}^{n}, \lambda \in \mathbb{R} f(x,\lambda) = \lambda


\text{s.t.} - x_{bound} \leq x \leq  x_{bound}


A_0^i + \sum{k=1}{n} A_{k}^{i} x_{k}
\preccurlyeq \lambda I_{n \times n}, i=1,\ldots,m

where xbound is taken from input argument options(2), or \infty if options(2) < 0.

When λ < 0, the system is strictly feasible; when ? = 0, the system is feasible but has no interior point.

When λ = 0 for any xbound, the system is infeasible.

In practice, the conditions on feasibility are as follows: λ < − 10 − 6 means strict feasibility, | λ | < 10 − 6 means feasibility (not strict) and λ > 10 − 6 indicates infeasibility.

The user can decide by the actual value of the output parameter feas (including the optimal λ).

For the case when the LMI system is unbounded, we have to add artificial bounds on x, otherwise PENSDP might diverge. Of course, it may happen that the feasible point lies outside these bounds. In this case penfeas sdp claims infeasibility, although the system is actually feasible. When in doubts, the user may try to gradually increase xbound (parameter options(2)). On the other hand, for very ill-conditioned and unbounded systems, the default bound 1000 may be too large and PENSDP may not converge. In this case, the user is advised to decrease parameter options(2) to a smaller number (100-1).

M-files Used

pen.m

MEX-files Used

pensdp

See Also

penfeas bmi.m

pensdpTL

Purpose

Solve (linear) semi-definite programming problems.

pensdpTL solves problems of the form


\begin{array}{ccccccl}
\min\limits_{x} & f(x) = c^{T} x & \\
\\
s/t & x_L & \leq & x  & \leq & x_U & \\
{}  & b_L & \leq & Ax & \leq & b_U & \\
\\
& Q^{(0)_i + \sum_{k=1}^{n}  Q^{(i)}_k x_k}
& \preceq & 0, &  k=1,2,\ldots,m_{LMI} \\
\end{array}

where x,x_L,x_U \in \mathbb{R}^{n},\, A \in \mathbb{R}^{m_l \times n},\, b_L,b_U
\in \mathbb{R}^{m_l} and Q^{(i)}_k are sparse or dense symmetric matrices. The matrix sizes may vary between different linear matrix inequalities (LMI) but must be the same in each particular constraint.

Calling Syntax

Result = tomRun('pensdp',Prob,...)

Description of Inputs

Prob Problem description structure. The following fields are used:

InputDescription
QP.cVector with coefficients for linear objective function.
A Linear constraints matrix.
b_L Lower bound for linear constraints.
b_U Upper bound for linear constraints.
x_L Lower bound on variables.
x_U Upper bound on variables.
x_0 Starting point.
PriLevOpt Print level in pensdpTL and MEX interface. The print level in the solver is controlled by PENOPT.ioptions(4).
PENOPT Structure with special fields for SDP parameters. Fields used are:
LMI Structure array with matrices for the linear matrix inequalities. See Examples on page 17 for a discussion of how to set this correctly.
ioptions 8 × 1 vector with options, defaults in (). Any element set to a value less than zero will be replaced by a default value, in some cases fetched from standard Tomlab parameters.
ioptions(1) 0/1: use default/user defined values for options.
ioptions(2) Maximum number of iterations for overall algorithm (50). If not given,

Prob.optParam.MaxIter is1u5sed.

ioptions(3)Maximum number of iterations in unconstrained optimization (100). If not given, Prob.optParam.MinorIter is used.
ioptions(4)Output level: 0/(1)/2/3 = silent/summary/brief/full. Tomlab parameter: Prob.PriLevOpt.
ioptions(5)(0)/1: Check density of Hessian / Assume dense.
ioptions(6)(0)/1: (Do not) use linesearch in unconstrained minimization. ioptions(7) (0)/1: (Do not) write solution vector to output file. ioptions(8) (0)/1: (Do not) write computed multipliers to output file.
foptions7 × 1 vector with optimization parameters, defaults in ():
foptions(1)Scaling factor linear constraints; must be positive. (1.0).
foptions(2)Restriction for multiplier update; linear constraints (0.7).
foptions(3)Restriction for multiplier update; matrix constraints (0.1).
foptions(4)Stopping criterium for overall algorithm (10-7). Tomlab equivalent: Prob.optParam.eps_f.
foptions(5)Lower bound for the penalty parameters (10-6).
foptions(6)Lower bound for the multipliers (10-14).
foptions(7)Stopping criterium for unconstrained minimization (10-2).

Description of Outputs

Result Structure with result from optimization. The following fields are changed:

OutputDescription
x_kOptimal point.
f_kFunction value at optimum.
g_kGradient value at optimum, c.
v_kLagrange multipliers.
x_0Starting point.
f_0Function value at start.
xStateState of each variable, described in the TOMLAB User's Guide.
IterNumber of iterations.
ExitFlag0: OK.

1: Maximal number of iterations reached.

2: Unbounded feasible region.

3: Rank problems. Can not find any solution point.

4: Illegal x 0.

5: No feasible point x 0 found.

InformIf ExitF lag > 0, I nf orm = ExitF lag.
QP.BOptimal active set. See input variable QP.B.
SolverSolver used.
SolverAlgorithmSolver algorithm used.
FuncEvNumber of function evaluations. Equal to Iter. ConstrEv Number of constraint evaluations. Equal to Iter. Prob Problem structure used.

Description

pensdp implements a penalty algorithm based on the PBM method of Ben-Tal and Zibulevsky. It is possible to give input data in three different formats:

  • Standard sparse SPDA format
  • PENSDP Structural format
  • Tomlab Quick format

In all three cases, problem setup is done via sdpAssign.

See Also

sdpAssign.m, sdpa2pen.m, sdpDemo.m, tomlab/docs/pensdp.pdf, penfeas sdp.m

Examples

Setting the LMI constraints is best described by an example. Assume 3 variables x = (x1,x2,x3) and 2 linear matrix inequalities of sizes 3 × 3 and 2 × 2 respectively, here given on block-diagonal form:


\left(
\begin{array}{c|c}
\begin{array}{ccc} 
0  \\
& 0 \\
&& 0
\end{array}\\ 
\hline & \begin{array}{cc}
0 \\ 
& 1 
\end{array}
\end{array}
\right) +
\left(
\begin{array}{c|c}
\begin{array}{ccc} 
2 & -1 & 0 \\ & 2 & 0 \\ 
&& 2\end{array}
\\ \hline & \begin{array}{cc} 
1 \\ & -1 
\end{array}
\end{array}
\right) x_1
+ \left(
\begin{array}{c|c}
\begin{array}{ccc} 
0  \\ & 0 \\ && 0
\end{array}
\\ \hline & \begin{array}{cc} 
3 \\
& -3 
\end{array}
\end{array}
\right) x_2 +
\left(
\begin{array}{c|c}
\begin{array}{ccc} 2 & 0 &-1 \\ & 2 & 0 \\ && 2\end{array}
\\ \hline & \begin{array}{cc} 0 \\ & 0 \end{array}
\end{array}
\right)x_3  \preceq 0

The LMI structure should then be initialized with the following commands:

%  Constraint 1
>> LMI(1,1).Q0 = [];
>> LMI(1,1).Q  = [2 -1  0 ; ...
                  0  2  0 ; ...
                  0  0  2];
>> LMI(1,2).Q  = [];
>> LMI(1,3).Q  = [2  0 -1 ; ...
                  0  2  0 ; ...
                  0  0  2];

%  Constraint 2, diagonal matrices only
>> LMI(2,1).Q0 = diag( [0, 1] );
>> LMI(2,1).Q  = diag( [1,-1] );
>> LMI(2,2).Q  = diag( [3,-3] );
>> LMI(2,3).Q  = [ ];

%  Use LMI in call to sdpAssign:
>> Prob=sdpAssign(c,LMI,...)

%  ... or set directly into Prob.PENSDP.LMI field:
>> Prob.PENSDP.LMI = LMI;

Some points of interest:

  • The LMI structure must be of correct size. This is important if a LMI constraint has zero matrices for the highest numbered variables. If the above example had zero coefficient matrices for x3 , the user would have to set LMI(1,3).Q = [] explicitly, so that the LMI structure array is really 2 × 3. (LMI(2,3).Q would automatically become empty in this case, unless set otherwise by the user).
  • MATLAB sparse format is allowed and encouraged.
  • Only the upper triangular part of each matrix is used (symmetry is assumed).

Input in Sparse SDPA Format is handled by the conversion routine sdpa2pen. For example, the problem defined in tomlab/examples/arch0.dat-s can be solved using the following statements:

>> p = sdpa2pen('arch0.dat-s')
  p =
     vars: 174
     fobj: [1x174 double]
     constr: 174
     ci: [1x174 double]
     bi_dim: [1x174 double]
     bi_idx: [1x174 double]
     bi_val: [1x174 double]
     mconstr: 1
     ai_dim: 175
     ai_row: [1x2874 double]
     ai_col: [1x2874 double]
     ai_val: [1x2874 double]
     msizes: 161
     ai_idx: [175x1 double]
     ai_nzs: [175x1 double]
     x0: [1x174 double]
     ioptions: 0
     foptions: []

  >> Prob=sdpAssign(p);            % Can call sdpAssign with only 'p' structure
  >> Result=tomRun('pensdp',Prob); % Call tomRun to solve problem
Retrieved from "http://tomwiki.com/PENOPT"
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