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Scott McCullough Math Dept University of Florida

Chris Nelson

UCSD NSA

Victor Vinnikov

Ben Gurion U of the Negev

Your narrator is Bill Helton

Advertisement:

1

2

Math Dept

UCSD

NCAlgebra1

NCSoSTools2

Igor Klep

A Linear Pencil is a matrix valued function L of the form

L(x) := L0 + L1 x1 + + Lg xg ,

where L0 , L1 , L2 , , Lg are symmetric matrices and

x := {x1 , , xg } are g real parameters.

A Linear Matrix Inequality (LMI) is one of the form:

L(x) 0

means

L(x) is PosDef.

A Linear Pencil is a matrix valued function L of the form

L(x) := L0 + L1 x1 + + Lg xg ,

where L0 , L1 , L2 , , Lg are symmetric matrices and

x := {x1 , , xg } are g real parameters.

A Linear Matrix Inequality (LMI) is one of the form:

L(x) 0

means

L(x) is PosDef.

The set of solutions

G := {(x1 , x2 , , xg ) : L0 + L1 x1 + + Lg xg 0}

is a convex set. Solutions can be found numerically for

problems of modest size. This is called

Semidefinite Programming SDP

x = (x1 , , xg ) algebraic noncommuting variables

Noncommutative polynomials: p(x):

Eg.

p(x) = x1 x2 + x2 x1

Substitute a matrix for each variable x1 X1 , x2 X2

Eg.

p(X) = X1 X2 + X2 X1 .

p(X) is PSD for all X

Outline

Ingredients: Polynomials and LMIs with Matrix Unknowns

Linear Systems give NonCommutative Polynomial Inequalities

Dimension Free Convexity vs NC LMIs

Comparison to LMIs in Scalar Unknowns

Free RAG

Convex Positivstellensatz

Randstellensatz for Defining Polynomials

Examples of NC Polynomials

r((a, b, c), x) = xbT bx + aT x + xa + c

Here m = (a, b, c) and x = (x).

Evaluation of NC Polynomials

r is naturally evaluated on a 1 + 3 = 4 tuple of matrices

M = (A, B, C) (Rnn )3

X = (X) Snn

Note that the form of the Riccati is independent of n.

Example: Get Riccati expressions like

AX + XAT XBBT X + CCT 0

OR Linear Matrix Inequalities (LMI) like

AX + XAT + CT C XB

0

BT X

I

which is equivalent to the Riccati inequality.

y-

G

x-state

k

k

k

k

k

k

Asymptotically stable

dx(t)

dt = Ax(t) + Bv(t)

A, B, C, D are matrices

x, v, y are vectors

k

Re(eigvals(A))

0

k

AT E + EA 0 E 0

Energy dissipating

G : L2 L2

|v|2dt

x(0) = 0

|Gv|2dt

k

k

k

k

k

k

k

E = ET 0

H := AT E + EA+

+EBB T E + C T C 0

E is called a storage function

L2-

- 2

Given - L

Find

The problem is Dimension free: since it is given only by signal

flow diagrams and L2 signals.

L2-

- 2

Given - L

Find

The problem is Dimension free: since it is given only by signal

flow diagrams and L2 signals.

A Dim Free System Prob is

Polynomial Inequalities

Equivalent to

Noncommutative

L2-

- 2

Given - L

Find

The problem is Dimension free: since it is given only by signal

flow diagrams and L2 signals.

A Dim Free System Prob is

Polynomial Inequalities

Example:

Equivalent to

Noncommutative

GET ALGEBRA

- -

Given

A, B1 , C1 , D

- B2 , C2

Find

abc

A

D=

BLOCK matrices

ENERGY DISSIPATION:

H := AT E + EA + EBBT E + C T C 0

E11 E12

E=

E12 = E21 T

E21 E22

Hxx Hxy

H=

Hxy = HT

yx

Hyx Eyy

0

1

1

0

H Control

ALGEBRA PROBLEM:

Given the polynomials:

T

T T

T

Hxx = E11 A + AT E11 + CT

1 C1 + E12 b C2 + C2 b E12 +

T

T

T

T

T

E11 B1 b E12 + E11 B1 B1 E11 + E12 b b E12 + E12 b BT

1 E11

aT (E21 +E12 T )

T

+ cT C1 + E22 b C2 + cT BT

2 E11 +

2

T

T

T

T

E21 B1 b (E21 +E12 )

E22 b b (E21 +E12 )

T

T

+ E21 B1 BT

+ E22 b BT

1 E11 +

1 E11

2

2

T

(E12 +E21 ) a

T

T

Hzx = AT E21 T + CT

+ E11 B2 c + CT

1 c+

2 b E22 +

2

T

T

T

(E +E T ) b BT E T

(E12 +E21 ) b b E22

T

+ 12 21 2 1 21

E11 B1 bT E22 T + E11 B1 BT

1 E21 +

2

T

T

T

Hzz = E22 a + aT E22 T + cT c + E21 B2 c + cT BT

2 E21 + E21 B1 b E22

T

T

T

T

T

E21 B1 BT

1 E21 + E22 b b E22 + E22 b B1 E21

Hxz = E21 A +

Hxx Hxz

Solve the inequality

0 for unknowns

Hzx Hzz

a, b, c and for E11 , E12 , E21 and E22

p

^

x

^

z

^

f

+

+

w

+ +

entirely by signal flow diagrams

and L2 performance specs

are equivalent to

Polynomial Matrix Inequalities

A more precise statement is on the next slide

A Signal Flow Diagram with L2 based performance, eg H

gives precisely a nc polynomial

..

..

..

p(a, x) :=

.

.

.

pk1 (a, x)

pkk (a, x)

Given matrices A.

Find matrices X so that P(A, X) is PosSemiDef.

BAD Typically p is a mess, until a hundred people work on it

and maybe convert it to CONVEX in x Matrix Inequalities.

All known successes3 do more: They convert to a LMI in x.

3

OUTLINE

Ingredients: Polynomials and LMIs with Matrix Unknowns

Linear Systems give NonCommutative Polynomial Inequalities

Dimension Free Convexity vs NC LMIs

Comparison to LMIs in Scalar Unknowns

Free RAG

Convex Positivstellensatz

Randstellensatz for Defining Polynomials

Convexity vs LMIs

QUESTIONS (Vague) :

WHICH DIM FREE PROBLEMS ARE LMI PROBLEMS.

Clearly, such a problem must be convex and semialgebraic.

Which convex nc problems are NC LMIS?

WHICH PROBLEMS ARE TREATABLE WITH LMIs?

This requires some kind of change of variables theory.

A cleaner problem

..

..

..

p(x) :=

.

.

.

pk1 (x)

pkk (x)

Linear Pencil

RECALL

I

x = (x1 , . . . , xg ), the expression

L(x) = L0 + L1 x1 + + Ls xg

is called a s s linear pencil.

If L0 = I, we say that L(x) is monic.

RECALL

I

x = (x1 , . . . , xg ), the expression

L(x) = L0 + L1 x1 + + Ls xg

is called a s s linear pencil.

If L0 = I, we say that L(x) is monic.

Its solution set

DL (1) = x Rg | L(x) 0

= x Rg | L0 + L1 x1 + + Lg xg 0

is called a spectrahedron or also an LMI domain.

Given a s s linear pencil

L(x) = L0 + L1 x1 + + Lg xg ,

it is natural to substitute symmetric matrices Xj for the

variables xj .

Given a s s linear pencil

L(x) = L0 + L1 x1 + + Lg xg ,

it is natural to substitute symmetric matrices Xj for the

variables xj :

I

L(X) := L0 In + L1 X1 + + Lg Xg Ssnsn .

The tensor product in this expression is the standard (Kronecker)

tensor product of matrices.

DL (n) := {X (Snn )g : L(X) 0}

DL := n DL (n)

Let p be a symmetric nc polynomial denote the principal

component of the positivity domain

Dp (n) := {X (Snn )g : p(X) 0}.

by Dp (n).

Theorem

p(0) = 1 and Dp0 bounded.

THEN

Dp0 is a convex set for each n

if and only if

there is a monic linear pencil L such that Dp = DL .

Let p be a symmetric nc polynomial denote the principal

component of the positivity domain

Dp (n) := {X (Snn )g : p(X) 0}.

by Dp (n).

Theorem

p(0) = 1 and Dp0 bounded.

THEN

Dp0 is a convex set for each n

if and only if

there is a monic linear pencil L such that Dp = DL .

This is also true if p is a symmetric matrix of nc polynomials.

It looks like:

It looks like:

and L2 performance of signals is equivalent to some LMI.

other way to get convexity.

Outline

Ingredients: Polynomials and LMIs with Matrix Unknowns

Linear Systems give NonCommutative Polynomial Inequalities

Dimension Free Convexity vs NC LMIs

Comparison to LMIs in Scalar Unknowns

Free RAG

Convex Positivstellensatz

Randstellensatz for Defining Polynomials

when all unknowns are

scalars.

QUESTION (Vague):

ARE CONVEX PROBLEMS ALL TREATABLE WITH LMIs?

DEFINITION: A set C Rg

has an Linear Matrix Inequality (LMI) Representation

provided that there are sym matrices L1 , L2 , , Lg

for which the monic Linear Pencil,

L(x) := I + L1 x1 + + Lg xg , has positivity set,

D L := {x : L0 + L1 x1 + + Lg xg

equals the set C; that is,

C = DL .

is PosSD}

Rg

EXAMPLE

has the LMI Rep

C = {x : L(x) 0}

here x := (x1 , x2 )

3x1 + 5x2

1

with

L(x) =

1 + 2x1 + 3x2

3x1 + 2x2

QUESTION 1

Does this set C which is the inner component of

p=0

XX

z

X

P

P

PP

q

P

x2

2

C p0

7 6 5 4 3 2 1

x1

1

2

3

p(x1 , x2 ) = (x1 2 + x2 2 )(x1 2 + x2 2 + 12x1 1) + 36x1 2 > 0

C := inner component of{x R2 : p(x) > 0}

QUESTION 2

Does this set have an LMI representation?

Cp

0.5

x2

p0

0.5

0.5

1

x1

p=0

p(x1 , x2 ) = 1 x1 4 x2 4 > 0

Cp := {x R2 : p(x) > 0} has degree 4.

defining polynomial p passes the the line test means:

For every point x0 in C and almost every line ` through

x0 the line ` intersects the the zero set

{x Rg : p(x) = 0} of p

in exactly d points

where d = degree of p.

In this counting one ignores lines which go thru x0 and hit the boundary of

C at .

representation, THEN C must pass the line test.

representation, THEN C must pass the line test.

When g = 2, the converse is true, namely, a convex set

which passes the line test has a LMI representation with

symmetric matrices Lj Rdd and L0 = I.

representation, THEN C must pass the line test.

When g = 2, the converse is true, namely, a convex set

which passes the line test has a LMI representation with

symmetric matrices Lj Rdd and L0 = I.

Lewis-Parrilo-Ramana showed our determinantal representation

solves a conjecture (1958) by Peter Lax about constant

coefficient linear hyperbolic PDE, one time and 2 space dim.

Free RAG

Suppose:

I

Is q(X) PosSemiDef

if

L(X) is PosSemiDef?

Suppose:

I

Is q(X) PosSemiDef

if

L(X) is PosSemiDef?

q 0 where L 0 if and only if

X

q(x) = s(x) s(x) +

vj (x) L(x)vj (x),

j

deg(q)

2

k

.

Convex PosSS: Suppose L monic linear pencil and DL is

bounded.

q 0 on DL iff

X

q(x) =

fj (x) L(x)fj (x),

j

deg(q)

2

Take q(x)

= kL(x)

an affine linear nc function, q(0) = I.

j

deg(L)

Then

= 0, so fj are constants. The PosSS becomes:

2

Free LMI domination Theorem:

P

L

=

j Vj L(x)Vj

= V I L(x) V

V isometery

Steinspring. )

q(X)v = 0 if p(X)v = 0

Now there is good theory of it: Cimpric, McCullough , Nelson -H

(Proc London Math Soc to appear)

q(X)v = 0 if p(X)v = 0

Now there is good theory of it: Cimpric, McCullough , Nelson -H

(Proc London Math Soc to appear)

For classical polynomials on Rg there is an algebraic certificate

equivalent to any list of polynomial inequalities-equalities.

For NC polynomials open.

Given p a d d matrix of nc polynomials defining a domain by

Dp := principal component of {X : p(X) 0}

with (detailed) boundary

b := {(X, v) :

D

p

X closure Dp , p(X)v = 0}

Theorem in preparation

SUPPOSE:

p(x) is a d d symmetric nc polynomial, and

L(x) is a d d monic linear pencil for which

b equals the Zero Set of L,

the free Zariski closure of D

L

THEN

continued

Theorem (continued)

DL Dp

and

if only if

p=L

X

i

qi qi

L+

b D

b

D

L

p

(rj L + Cj ) L (rj L + Cj ) ,

matrices satisfying Cj L = LCj .

Current ventures

(Motivates recent PosSS work)

MANY THANKS

from

Igor Klep

Math Dept

NewZealand

Scott McCullough

Math Dept

University of Florida

Chris Nelson

Math Dept

UCSD NSA

Victor Vinnikov

Bill

Polys in a and x

The polynomial p(a, x) is convex in x for all A if for each X, Y

and 0 1,

p(A, X + (1 )Y) p(A, X) + (1 )p(A, Y).

The Riccati r(a, x) = c + aT x + xa xbT bx is concave, meaning

r is convex in x (everywhere).

Can localize A to an nc semialgebraic set.

THM (Hay-Helton-Lim- McCullough)

SUPPOSE p Rha, xi is convex in x THEN

x),

x)T Z(a)L(a,

p(a, x) = L(a, x) + L(a,

where,

THM (Hay-Helton-Lim- McCullough)

SUPPOSE p Rha, xi is convex in x THEN

x),

x)T Z(a)L(a,

p(a, x) = L(a, x) + L(a,

where,

L(a, x) has degree at most one in x;

Z(a) is a symmetric matrix-valued NC polynomial;

Z(A) 0 for all A;

x) is linear in x. L(a,

x) is a (column) vector of

L(a,

.

NC polynomials of the form xj m(a).

THM (Hay-Helton-Lim- McCullough)

SUPPOSE p Rha, xi is convex in x THEN

x),

x)T Z(a)L(a,

p(a, x) = L(a, x) + L(a,

where,

L(a, x) has degree at most one in x;

Z(a) is a symmetric matrix-valued NC polynomial;

Z(A) 0 for all A;

x) is linear in x. L(a,

x) is a (column) vector of

L(a,

.

NC polynomials of the form xj m(a).

This also works fine if A only belongs to an open nc

semi-algebraic set (will not be defined here) .

COR SUPPOSE p Rha, xi is convex in x

THEN there is a linear pencil (a, x) such that the set

of all solutions to {X : p(A, X) 0} equals {X : (A, X) 0}.

COR SUPPOSE p Rha, xi is convex in x

THEN there is a linear pencil (a, x) such that the set

of all solutions to {X : p(A, X) 0} equals {X : (A, X) 0}.

Proof: p is a Schur Complement of some by the previous

theorem.

COR SUPPOSE p Rha, xi is convex in x

THEN there is a linear pencil (a, x) such that the set

of all solutions to {X : p(A, X) 0} equals {X : (A, X) 0}.

Proof: p is a Schur Complement of some by the previous

theorem.

COR SUPPOSE p Rha, xi is convex in x

THEN there is a linear pencil (a, x) such that the set

of all solutions to {X : p(A, X) 0} equals {X : (A, X) 0}.

Proof: p is a Schur Complement of some by the previous

theorem.

A CONVEX problem specified entirely by a signal flow diagram

and L2 performance of signals is equivalent to some LMI.

Convex Algebraic Geometry (mostly commutative)

NSF FRG: Helton -Nie- Parrilo- Strumfels- Thomas

One aspect: Convexity vs LMIs.

Now there is a roadmap with some theorems and conjectures.

Three branches:

1. Which convex semialgebraic sets in Rg have an LMI rep?

(Line test) Is it necessary and sufficient?

Ans: Yes if g 2.

2.Which convex semialgebraic sets in Rg lift to a set with an

LMI representation? Ans: Most do.

3. Which noncommutative semialgebraic convex sets have an

LMI rep?

Ans: All do. (like what you have seen.), see

Helton-McCullough Annals of Mathematics Sept 2012.

We have a good body of results in these areas.

Eg. Positivestellensatz Saw in Tuesday Morning Tutorial

session.

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