Optimization and Convexity of log det(I plus KX<SUP>-1</SUP>)

초록

This paper provides another proof for the convexity (strict convexity) of log det(I+KX-1) over the positive definite cone for any given positive semidefinite matrix K greater than or similar to 0 (positive definite matrix K > 0) and the strict convexity of log det(K +X-1) over the positive definite cone for any given K greater than or similar to 0. Equivalent optimization representations with linear matrix inequalities (LMIs) for the functions log det(I+KX-1) and log det(K+X-1) are also presented. It was shown that these optimization representations with LMI constraints can be particularly useful for some related synthetic design problems. An iterative procedure based on the proposed LMI is presented to solve the minimax mutual information game with covariance and expected power constraints.

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