enforcing P>0

boilerplate.m

psdchecker = PSDchecker(4); % if you have 4 states
psdchecker_fun = psdchecker.create();



Now you can call `psdchecker_fun` on an `MX` node e.g.



P = MX.sym('P',4,4)

out = psdchecker_fun({P})

objective = objective + out{1};

mydergen.m

classdef mydergen < casadi.DerivativeGenerator2
  properties
    fwd
    n
  end
  methods
    function self = mydergen(n,fwd)
      self.fwd = fwd;
      self.n = n;
    end
    function out = paren(self,fcn,ndir)
      import casadi.*
      % Obtain the symbols for nominal inputs/outputs
      nominal_in  = fcn.symbolicInput();
      nominal_out = fcn.symbolicOutput();
      der_ins = {nominal_in{:}, nominal_out{:}};
      der_outs = {};
      for i=1:ndir
        if self.fwd
            der_ins = {der_ins{:} MX.sym('x',self.n,self.n)};
            der_outs = {der_outs{:} MX.zeros(1,1)};
        else
            der_ins = {der_ins{:} MX.sym('x')};  
            der_outs = {der_outs{:} MX.zeros(self.n,self.n)};
        end
      end
      out = MXFunction('my_derivative', der_ins, der_outs);
    end
  end
end
  

PSDchecker.m

classdef PSDchecker < casadi.Callback2
  properties
      n
      fwd
      adj
  end
  methods
    function self = PSDchecker(n)
      self.n = n;
      self.fwd = mydergen(n,true);
      self.adj = mydergen(n,false);
    end
    function argout = paren(self,argin)
      P = full(argin{1});
      if (min(eig(P))<0) % figure out the test here
        argout{1} = inf;
      else
        argout{1} = 0;
      end
    end
    function out = inputShape(self,i)
      out = [self.n, self.n];
    end
  
    function out = options(self)
      out = struct('custom_forward',self.fwd.create(), 'custom_reverse',self.adj.create());
    end

  end
end