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How to solve multiple LMIs?
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I have four inequalities and I need to minimise a parameter 'rho':
1.) AX+BW+constant*X+const*(HH') X' X -I
2.) AX+BW H X' H' -rho*I 0 X 0 -rho*I
3.) const.*I W W' const.*X
4.) const.I const. const. -X
The inequalities are: 1.) <0 2.) <0 3.) <0 4.) <0
And I need to minimise rho.
I have been trying to read the documentation for writing the code for this, but it seems like i cannot figure it out. Kindly help or suggest.
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