关键词: 样本协方差矩阵, 最小体积闭包椭球, 积极集, 初始化策略, 大规模数据集

Abstract: Aiming at the problem that the original initialization strategy of the activeset algorithm took more time to compute minimum volume enclosing ellipsoid (MVEE). Firstly, we gave a new initialization strategy based on sample covariance matrix. Secondly, we applied the initialization strategy to the ranktwo update algorithm, and gave a modified activeset algorithm to compute MVEE. The results of numerical experiments show that activeset algorithm based on the new initialization strategy can effectively improve the computational efficiency of solving the MVEE problem of largescale date sets.

Key words: largescale date set, minimum volume enclosing ellipsoid, activeset, sample covariance matrix, initialization strategy