On Symmetric Gauss–Seidel ADMM Algorithm for H∞ Guaranteed Cost Control With Convex Parameterization

Abstract

This article involves the innovative development of a symmetric Gauss–Seidel ADMM algorithm to solve the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathcal {H}_{\infty }$ </tex-math></inline-formula> guaranteed cost control problem. In the presence of parametric uncertainties, the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathcal {H}_{\infty }$ </tex-math></inline-formula> guaranteed cost control problem generally leads to the large-scale optimization. This is due to the exponential growth of the number of the extreme systems involved with respect to the number of parametric uncertainties. In this work, through a variant of the Youla–Kucera parameterization, the stabilizing controllers are parameterized in a convex set; yielding the outcome that the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathcal {H}_{\infty }$ </tex-math></inline-formula> guaranteed cost control problem is converted to a convex optimization problem. Based on an appropriate reformulation using the Schur complement, it then renders possible the use of the ADMM algorithm with symmetric Gauss–Seidel backward and forward sweeps. Significantly, this approach alleviates the often-times prohibitively heavy computational burden typical in many <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\mathcal H_{\infty }$ </tex-math></inline-formula> optimization problems while exhibiting good convergence guarantees, which is particularly essential for the related large-scale optimization procedures involved. With this approach, the desired robust stability is ensured, and the disturbance attenuation is maintained at the minimum level in the presence of parametric uncertainties. Rather importantly too, with the attained effectiveness, the methodology thus evidently possesses extensive applicability in various important controller synthesis problems, such as decentralized control, sparse control, and output feedback control problems.