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

Damla Ahipasaoglu (dse8cornell.edu)
Peng Sun (psunduke.edu)
Mike Todd (mjt7cornell.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: Technical Report 1452, School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY 14853, USA. November, 2006.

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Entry Submitted: 11/08/2006
Entry Accepted: 11/08/2006
Entry Last Modified: 11/08/2006

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