minimize||(R+S'QS)K + S'QT||
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minimize||(R+S'QS)K + S'QT|| ,where Q & R matrices are diagonal matrix whose values to be determined such that it will minimize the value of the given expression.
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Accepted Answer
Johan Löfberg
on 10 Aug 2016
Edited: Johan Löfberg
on 10 Aug 2016
You haven't defined which norm you want to use. As you've tagged it with YALMIP, this is the YALMIP code for, e.g., 2-norm.
Q = diag(sdpvar(n,1));
R = diag(sdpvar(n,1));
optimize([],norm((R+S'*Q*S)*K + S'*Q*T,2))
The Frobenious norm ('fro') can be solved analytically if you want, as it is a simple quadratic expression
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Torsten
on 9 Aug 2016
Maybe "quadprog", maybe "fmincon".
See which solver best fits your needs.
Best wishes
Torsten.
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