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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

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