# feasp

Compute solution to given system of LMIs

## Syntax

`[tmin,xfeas] = feasp(lmisys,options,target)`

## Description

`[tmin,xfeas] = feasp(lmisys,options,target)`

computes a solution
`xfeas`

(if any) of the system of LMIs described by
`lmisys`

. The vector `xfeas`

is a particular value
of the decision variables for which all LMIs are satisfied.

Given the LMI system

$${N}^{T}LxN\le {M}^{T}R(x)M,$$ | (1) |

`xfeas`

is computed by solving the auxiliary convex program:

Minimize t subject to *N ^{T}L*(

*x*)

*N*–

*M*(x)

^{T}R*M*≤

*tI*.

The global minimum of this program is the scalar value `tmin`

returned as first output argument by `feasp`

. The LMI constraints are feasible if `tmin`

≤ 0 and strictly feasible if `tmin`

< 0. If the problem is feasible but not strictly feasible, `tmin`

is positive and very small. Some post-analysis may then be required to decide whether `xfeas`

is close enough to feasible.

The optional argument `target`

sets a target value for `tmin`

. The optimization code terminates as soon as a value of *t* below this target is reached. The default value is `target`

= 0.

Note that `xfeas`

is a solution in terms of the decision variables and not in terms of the matrix variables of the problem. Use `dec2mat`

to derive feasible values of the matrix variables from `xfeas`

.

## Control Parameters

The optional argument `options`

gives access to certain control parameters for the optimization algorithm. This five-entry vector is organized as follows:

`options(1)`

is not used.`options(2)`

sets the maximum number of iterations allowed to be performed by the optimization procedure (100 by default).`options(3)`

resets the*feasibility radius*. Setting`options(3)`

to a value*R*> 0 further constrains the decision vector*x*= (*x*_{1}, . . .,*x*) to lie within the ball_{N}$$\sum _{i=1}^{N}{x}_{i}^{2}<{R}^{2}$$

In other words, the Euclidean norm of

`xfeas`

should not exceed*R*. The feasibility radius is a simple means of controlling the magnitude of solutions. Upon termination,`feasp`

displays the*f-radius saturation*, that is, the norm of the solution as a percentage of the feasibility radius*R*.The default value is

*R*= 109. Setting`options(3)`

to a negative value activates the “flexible bound” mode. In this mode, the feasibility radius is initially set to 108, and increased if necessary during the course of optimization`options(4)`

helps speed up termination. When set to an integer value*J*> 0, the code terminates if*t*did not decrease by more than one percent in relative terms during the last*J*iterations. The default value is 10. This parameter trades off speed vs. accuracy. If set to a small value (< 10), the code terminates quickly but without guarantee of accuracy. On the contrary, a large value results in natural convergence at the expense of a possibly large number of iterations.`options(5) = 1`

turns off the trace of execution of the optimization procedure. Resetting`options(5)`

to zero (default value) turns it back on.

Setting `option(i)`

to zero is equivalent to setting the corresponding control parameter to its default value. Consequently, there is no need to redefine the entire vector when changing just one control parameter. To set the maximum number of iterations to 10, for instance, it suffices to type

options=zeros(1,5) % default value for all parameters options(2)=10

## Memory Problems

When the least-squares problem solved at each iteration becomes ill conditioned, the `feasp`

solver switches from Cholesky-based to QR-based linear algebra (see Memory Problems for details). Since the QR mode typically requires much more memory, MATLAB^{®} may run out of memory and display the message

??? Error using ==> feaslv Out of memory. Type HELP MEMORY for your options.

You should then ask your system manager to increase your swap space or, if no additional swap space is available, set `options(4) = 1`

. This will prevent switching to QR and `feasp`

will terminate when Cholesky fails due to numerical instabilities.

## Examples

## References

The feasibility solver `feasp`

is based on Nesterov and Nemirovski's Projective Method described in:

Nesterov, Y., and A. Nemirovski, *Interior Point Polynomial Methods in Convex Programming: Theory and Applications*, SIAM, Philadelphia, 1994.

Nemirovski, A., and P. Gahinet, “The Projective Method for Solving Linear Matrix Inequalities,” *Proc. Amer. Contr. Conf*., 1994, Baltimore, Maryland, p. 840–844.

The optimization is performed by the C-MEX file `feaslv.mex`

.

**Introduced before R2006a**