Common-solvability conjecture for systems of linear matrix inequalities

Let A1,,AkA_1,\ldots,A_k and B1,,BkB_1,\ldots,B_k be matrices of compatible sizes, and let XX range over Hermitian matrices. Consider the kk linear matrix inequalities

B1XB1A1,,BkXBkAk.B_1XB_1^{*}\succcurlyeq A_1,\quad \ldots,\quad B_kXB_k^{*}\succcurlyeq A_k.

Common-solvability conjecture. The kk LMIs

B1XB1A1,,BkXBkAkB_1XB_1^{*}\succcurlyeq A_1,\quad \ldots,\quad B_kXB_k^{*}\succcurlyeq A_k

have a common Hermitian solution if and only if each of the kk LMIs has a Hermitian solution individually.

The preceding two-LMI result establishes this equivalence for k=2k=2. The conjecture asks whether separate solvability always implies simultaneous solvability for an arbitrary finite family of LMIs of this form.

Sources & referencesView supporting material

Primary source

Yongge Tian, “Analytical solutions to some optimization problems on ranks and inertias of matrix-valued functions subject to linear matrix inequalities”, arXiv:1301.0986 (2013).

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