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.
| Identifer | oai:union.ndltd.org:MIT/oai:dspace.mit.edu:1721.1/5090 |
| Date | 07 1900 |
| Creators | Sun, Peng, Freund, Robert M. |
| Publisher | Massachusetts Institute of Technology, Operations Research Center |
| Source Sets | M.I.T. Theses and Dissertation |
| Language | en_US |
| Detected Language | English |
| Type | Working Paper |
| Format | 1786129 bytes, application/pdf |
| Relation | Operations Research Center Working Paper;OR 364-02 |
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