Computation of Minimum-Volume Covering Ellipsoids
Computation of Minimum-Volume Covering Ellipsoids
We present a practical algorithm for computing the minimum-volume n-dimensional ellipsoid that must contain m given points a 1 ,…,a m ∈ 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 …