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Computation of Minimum Volume Covering Ellipsoids

We present a practical algorithm for computing the minimum volume n-dimensional ellipsoid that must contain m given points al,...,am C Rn . This convex constrained problem arises in a variety of applied computational settings, particularly in data mining and robust statistics. Its structure makes it particularly amenable to solution by interior-point methods, and it has been the subject of much theoretical complexity analysis. Here we focus on computation. We present a combined interior-point and active-set method for solving this problem. Our computational results demonstrate that our method solves very large problem instances (m = 30, 000 and n = 30) to a high degree of accuracy in under 30 seconds on a personal computer.

Identiferoai:union.ndltd.org:MIT/oai:dspace.mit.edu:1721.1/5090
Date07 1900
CreatorsSun, Peng, Freund, Robert M.
PublisherMassachusetts Institute of Technology, Operations Research Center
Source SetsM.I.T. Theses and Dissertation
Languageen_US
Detected LanguageEnglish
TypeWorking Paper
Format1786129 bytes, application/pdf
RelationOperations Research Center Working Paper;OR 364-02

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