Abstract:

Firstly, the linear convergence of the rank2 algorithm for the minimum volume enclosing ellipsoid (MVEE) problem was established. Secondly, a simple activeset strategy was presented to compute the N furthest points from the current ellipsoid at each iteration. By incorporating this strategy into the rank-2 algorithm, an activeset algorithm for the MVEE problem was obtained. The numerical results show the proposed activeset algorithm can effectively solve largescale date problem with a high degree of accuracy.

Key words: minimum volume enclosing ellipsoid, linear convergence, activeset strategy, largescale data