Optimization Online


Linear convergence of a modified Frank-Wolfe algorithm for computing minimum volume ellipsoids

Damla Ahipasaoglu (dse8***at***cornell.edu)
Peng Sun (psun***at***duke.edu)
Mike Todd (mjt7***at***cornell.edu)

Abstract: We show the linear convergence of a simple first-order algorithm for the minimum-volume enclosing ellipsoid problem and its dual, the D-optimal design problem of statistics. Computational tests confirm the attractive features of this method.

Keywords: Linear convergence, Frank-Wolfe algorithm, minimum-volume ellipsoids, optimizing on a simplex

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: Optimization Methods and Software 23 (2008), 5--19.

Download: [PDF]

Entry Submitted: 11/08/2006
Entry Accepted: 11/08/2006
Entry Last Modified: 06/18/2008

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society