Computation of minimum-volume covering ellipsoids

Journal Article (Journal Article)

We present a practical algorithm for computing the minimum-volume n-dimensional ellipsoid that must contain m given points a I, a m ε R n. 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.

Full Text

Duke Authors

Cited Authors

  • Sun, P; Freund, RM

Published Date

  • September 1, 2004

Published In

Volume / Issue

  • 52 / 5

Start / End Page

  • 690 - 706

International Standard Serial Number (ISSN)

  • 0030-364X

Digital Object Identifier (DOI)

  • 10.1287/opre.1040.0115

Citation Source

  • Scopus