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An interior point constrained trust region method for a special class of nonlinear semidefinite programming problems. (English) Zbl 1035.90102

Summary: An interior point trust region algorithm for the solution of a class of nonlinear semidefinite programming (SDP) problems is described and analyzed. Such nonlinear and nonconvex programs arise, e.g., in the design of optimal static or reduced order output feedback control laws and have the structure of abstract optimal control problems in a finite dimensional Hilbert space. The algorithm treats the abstract states and controls as independent variables. In particular, an algorithm for minimizing a nonlinear matrix objective functional subject to a nonlinear SDP-condition, a positive definiteness condition, and a nonlinear matrix equation is considered. The algorithm is designed to take advantage of the structure of the problem. It is an extension of an interior point trust region method to nonlinear and nonconvex SDPs, with a special structure which applies sequential quadratic programming techniques to a sequence of barrier problems and uses trust regions to ensure robustness of the iteration. Some convergence results are given, and, finally, several numerical examples demonstrate the applicability of the considered algorithm.

MSC:

90C51 Interior-point methods
90C22 Semidefinite programming
90C26 Nonconvex programming, global optimization
93D99 Stability of control systems
49N05 Linear optimal control problems
65K05 Numerical mathematical programming methods

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