Approximating the real structured stability radius with Frobenius-norm bounded perturbations

DOI10.1137/16M1110169zbMATH Open1379.65040arXiv1702.02486MaRDI QIDQ4598332FDOQ4598332

Authors: Mert Gürbüzbalaban, Tim Mitchell, Michael L. Overton, Nicola Guglielmi 

Publication date: 20 December 2017

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Abstract: We propose a fast method to approximate the real stability radius of a linear dynamical system with output feedback, where the perturbations are restricted to be real valued and bounded with respect to the Frobenius norm. Our work builds on a number of scalable algorithms that have been proposed in recent years, ranging from methods that approximate the complex or real pseudospectral abscissa and radius of large sparse matrices (and generalizations of these methods for pseudospectra to spectral value sets) to algorithms for approximating the complex stability radius (the reciprocal of the $H_{i}nfty$ norm). Although our algorithm is guaranteed to find only upper bounds to the real stability radius, it seems quite effective in practice. As far as we know, this is the first algorithm that addresses the Frobenius-norm version of this problem. Because the cost mainly consists of computing the eigenvalue with maximal real part for continuous-time systems (or modulus for discrete-time systems) of a sequence of matrices, our algorithm remains very efficient for large-scale systems provided that the system matrices are sparse.

Full work available at URL: https://arxiv.org/abs/1702.02486

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zbMATH Keywords

algorithmdiscrete-time systemsrobust stabilitycontinuous-time systemslarge sparse matriceslinear dynamical systemsreal stability radiusstructured pseudospectraspectral value sets\(H_\infty\) (H-infinity) norm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Computational methods for sparse matrices (65F50) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Robust stability (93D09) Input-output approaches in control theory (93D25)

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Cited In (6)

• A formula for computation of the real stability radius
• On the real stability radius of sparse systems
• Root-Max Problems, Hybrid Expansion-Contraction, and Quadratically Convergent Optimization of Passive Systems
• On real structured controllability/stabilizability/stability radius: complexity and unified rank-relaxation based methods
• Subspace method for the estimation of large-scale structured real stability radius
• Faster and more accurate computation of the \(\mathcal{H}_\infty\) norm via optimization

Uses Software

• PSAPSR

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