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http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/5090| Title: | Computation of Minimum Volume Covering Ellipsoids |
| Keywords: | Ellipsoid, Newton's method, interior-point method, barrier method, active set, semidefinite program, data mining. |
| Issue Date: | 9-Oct-2013 |
| Publisher: | Massachusetts Institute of Technology, Operations Research Center |
| Description: | 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/1721 |
| Other Identifiers: | http://hdl.handle.net/1721.1/5090 |
| Appears in Collections: | MIT Items |
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