Conditional minimum volume ellipsoid with application to multiclass discrimination
نویسندگان
چکیده
منابع مشابه
Conditional Minimum Volume Ellipsoid with Applications to Subset Selection for MVE Estimator and Multiclass Discrimination
In this paper, we present a new formulation for constructing an ellipsoid which generalizes the computation of the minimum volume covering ellipsoid, based on the CVaR minimization technique proposed by Rockafellar and Uryasev (2002). The proposed ellipsoid construction is formulated as a convex optimization and an interior point algorithm for the solution can be developed. In addition, the opt...
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Estimating multivariate location and scatter with both affine equivariance and positive breakdown has always been difficult. A well-known estimator which satisfies both properties is the Minimum Volume Ellipsoid Estimator (MVE). Computing the exact MVE is often not feasible, so one usually resorts to an approximate algorithm. In the regression setup, algorithms for positive-breakdown estimators...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2007
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-007-9097-x