Computation of Minimum-Volume Covering Ellipsoids

@article{Sun2004ComputationOM,
  title={Computation of Minimum-Volume Covering Ellipsoids},
  author={Peng Sun and Robert M. Freund},
  journal={Operations Research},
  year={2004},
  volume={52},
  pages={690-706}
}
We present a practical algorithm for computing the minimum-volume n-dimensional ellipsoid that must contain m given points a1 am ∈ . 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… CONTINUE READING
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