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Dear Sir,
I would like to solve an inequality of the form
Z'P+PZ<0 where Z= {inv(I-MK)}*(A+BKC)
where K is the sdpvar variable I am solving for. Rest of the matrices can be assumed to be known. Kindly let me know of the process to solve such a problem.
Johan Löfberg
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Apr 18, 2015, 12:55:04 PM4/18/15
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You cannot work with inverses in a nice way. Can't you perform some clever variable change or something?
Worst case, write it as a nonconvex bilinear equality with a new variable W satisfying W*(I-MK) == I, and try to attack it using pensdp or bmibnb (it is most likely doomed to fail though)