minimize||(R+S'QS)K + S'QT||

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kamakshi
kamakshi on 9 Aug 2016
Edited: Johan Löfberg on 10 Aug 2016
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.

Accepted Answer

Johan Löfberg
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

More Answers (1)

Torsten
Torsten on 9 Aug 2016
Maybe "quadprog", maybe "fmincon".
See which solver best fits your needs.
Best wishes
Torsten.

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