An Asymptotically Exact Approach to Robust Semidefinite Programming Problems with Function Variables

Abstract

This technical note provides an approximate approach to a semidefinite programming problem with a parameter-dependent constraint and a function variable. This problem covers a variety of control problems including a robust stability/performance analysis with a parameter-dependent Lyapunov function. In the proposed approach, the original problem is approximated by a standard semidefinite programming problem through two steps: first, the function variable is approximated by a finite-dimensional variable; second, the parameter-dependent constraint is approximated by a finite number of parameter-independent constraints. Both steps produce approximation error. On the sum of these approximation errors, this technical note provides an upper bound. This bound enables quantitative analysis of the approach and gives an efficient way to reduction of the approximation error. Moreover, this technical note discusses how to verify that an optimal solution of the approximate problem is actually optimal also for the original problem.