Large-Scale Minimization of the Pseudospectral Abscissa

TL;DR

This paper introduces a subspace method for large-scale minimization of the pseudospectral abscissa, enabling efficient and superlinearly convergent optimization for robust stability analysis in control systems.

Contribution

It develops a novel subspace framework for large-scale nonconvex minimax eigenvalue problems involving the pseudospectral abscissa, with special treatment of eigenvalue constraints using Lagrangian dual variables.

Findings

Superlinear convergence of the subspace method.

Effective handling of large-scale matrix problems.

Advantages over other stability measures like $\

Abstract

This work concerns the minimization of the pseudospectral abscissa of a matrix-valued function dependent on parameters analytically. The problem is motivated by robust stability and transient behavior considerations for a linear control system that has optimization parameters. We describe a subspace procedure to cope with the setting when the matrix-valued function is of large size. The proposed subspace procedure solves a sequence of reduced problems obtained by restricting the matrix-valued function to small subspaces, whose dimensions increase gradually. It possesses desirable features such as a superlinear convergence exhibited by the decay in the errors of the minimizers of the reduced problems. In mathematical terms, the problem we consider is a large-scale nonconvex minimax eigenvalue optimization problem such that the eigenvalue function appears in the constraint of the inner maximization problem. Devising and analyzing a subspace framework for the minimax eigenvalue optimization problem at hand with the eigenvalue function in the constraint require special treatment that makes use of a Lagrangian and dual variables. There are notable advantages in minimizing the pseudospectral abscissa over maximizing the distance to instability or minimizing the $\mathcal{H}_\infty$ norm; the optimized pseudospectral abscissa provides quantitative information about the worst-case transient growth, and the initial guesses for the parameter values to optimize the pseudospectral abscissa can be arbitrary, unlike the case to optimize the distance to instability and $\mathcal{H}_\infty$ norm that would normally require initial guesses yielding asymptotically stable systems.