Rank-one LMIs and Lyapunov's inequality

Abstract

We describe a new proof of the well-known Lyapunov's matrix inequality about the location of the eigenvalues of a matrix in some region of the complex plane. The proof makes use of standard facts from quadratic and semidefinite programming. Links are established between the Lyapunov matrix, rank-one linear matrix inequalities (LMI), and the Lagrange multiplier arising in duality theory.