Approximating the nearest stable discrete-time system

DOI10.1016/J.LAA.2019.03.014zbMATH Open1415.65086arXiv1802.08033OpenAlexW2921142465WikidataQ128189613 ScholiaQ128189613MaRDI QIDQ2419035FDOQ2419035

Authors: Nicolas Gillis, Michael Karow, Punit Sharma 

Publication date: 29 May 2019

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: In this paper, we consider the problem of stabilizing discrete-time linear systems by computing a nearby stable matrix to an unstable one. To do so, we provide a new characterization for the set of stable matrices. We show that a matrix $A$ is stable if and only if it can be written as $A=S^{-1}UBS$, where $S$ is positive definite, $U$ is orthogonal, and $B$ is a positive semidefinite contraction (that is, the singular values of $B$ are less or equal to 1). This characterization results in an equivalent non-convex optimization problem with a feasible set on which it is easy to project. We propose a very efficient fast projected gradient method to tackle the problem in variables $(S,U,B)$ and generate locally optimal solutions. We show the effectiveness of the proposed method compared to other approaches.

Full work available at URL: https://arxiv.org/abs/1802.08033

Recommendations

• On computing the distance to stability for matrices using linear dissipative Hamiltonian systems
• Computing the nearest stable matrix pairs.
• A note on approximating the nearest stable discrete-time descriptor systems with fixed rank
• Nearest stable system using successive convex approximations
• Nearest \(\Omega \)-stable matrix via Riemannian optimization

zbMATH Keywords

convex optimizationstabilitylinear discrete-time systemsstability radius

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Nonconvex programming, global optimization (90C26) Positive matrices and their generalizations; cones of matrices (15B48) Stability theory for difference equations (39A30)

Cites Work

• Matrix Analysis
• Introductory lectures on convex optimization. A basic course.
• Title not available (Why is that?)
• Computing a nearest symmetric positive semidefinite matrix
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• Port-Hamiltonian systems on graphs
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stability radii of positive linear difference equations under affine parameter perturbations
• Port-Hamiltonian systems: an introductory survey
• Stability radii of higher order positive difference systems
• Projection-like retractions on matrix manifolds
• Nearest stable system using successive convex approximations
• Stability Radii of Positive Linear Functional Differential Equations under Multi-Perturbations
• Finding approximate local minima faster than gradient descent
• Real and complex stability radii of polynomial matrices
• Computing the nearest stable matrix pairs.
• On computing the distance to stability for matrices using linear dissipative Hamiltonian systems
• Stability radii for real linear Hamiltonian systems with perturbed dissipation
• Stability radii for linear Hamiltonian systems with dissipation under structure-preserving perturbations
• Finding the nearest positive-real system
• On the closest stable/unstable nonnegative matrix and related stability radii
• Matrix Stabilization Using Differential Equations
• Behavior of accelerated gradient methods near critical points of nonconvex functions

Cited In (11)

• Stability preserving data-driven models with latent dynamics
• Computing the nearest stable matrix pairs.
• A note on approximating the nearest stable discrete-time descriptor systems with fixed rank
• Nearest \(\Omega \)-stable matrix via Riemannian optimization
• Minimal-norm static feedbacks using dissipative Hamiltonian matrices
• On the nearest stable \(2\times 2\) matrix, dedicated to Prof. Sze-Bi Hsu in appreciation of his inspiring ideas
• Characterizing matrices with eigenvalues in an LMI region: a dissipative-Hamiltonian approach
• Nearest stable system using successive convex approximations
• Stable reduced-rank VAR identification
• Discrete multivariable system approximations by minimal Pade-type stable models
• Stabilizing reinforcement learning control: a modular framework for optimizing over all stable behavior

This page was built for publication: Approximating the nearest stable discrete-time system

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2419035)