Computation of Minimum-Volume Covering Ellipsoids
نویسندگان
چکیده
We present a practical algorithm for computing the minimum volume n-dimensional ellipsoid that must contain m given points a1, . . . , am ∈ R. 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.
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ورودعنوان ژورنال:
- Operations Research
دوره 52 شماره
صفحات -
تاریخ انتشار 2004