A Modified Frank-Wolfe Algorithm for Computing Minimum-Area Enclosing Ellipsoidal Cylinders: Theory and Algorithms

We study a first-order method to find the minimum cross-sectional area ellipsoidal cylinder containing a finite set of points. This problem arises in optimal design in statistics when one is interested in a subset of the parameters. We provide convex formulations of this problem and its dual, and analyze a method based on the Frank-Wolfe … Read more