How to solve a generalized eigenvalue LMI system with the minimization variable being a decision variable as well
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I have a minimization proble of the form
Minimize Lamda
Such That
C(X) < 0
B(Lamda,X) > 0 (Note: Lamda appears only on the diagonal of B(.))
This problem can be solved using the gevp() function if it looks like
Minimize Lamda
Such That
C(X) < 0
Lamda * B(X) > 0
I mean if Lamda does not appear inside the constrain matrices Actually I can not reformulate the former LMI problem to looks like the standard form.
How can I solve this problem? Is there any trick to do that?
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