Conditional minimum volume ellipsoid with application to multiclass discrimination

DOI10.1007/S10589-007-9097-XMaRDI QIDQ732238zbMATH OpenOpenAlexFDO

Authors Jun-Ya Gotoh, Akiko Takeda

Publication date 9 October 2009

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://tsukuba.repo.nii.ac.jp/?action=repository_action_common_download&item_id=22824&item_no=1&attribute_id=17&file_no=1

zbMATH Keywords

conditional value-at-riskinterior point methodminimum volume covering ellipsoidminimum volume ellipsoid estimatormulticlass discrimination

Mathematics Subject Classification ID

Convex programming (90C25) Interior-point methods (90C51)

Review text

The paper presents a new formulation for constructing an \(n\)-dimensional ellipsoid by generalizing the computation of the minimum volume covering ellipsoid, based on the CVaR technique proposed by Rockafellar and Uryasev. The resulting convex optimization problem is solved using an interior point method based on an algorithm proposed by Sun and Freund. The maximization of the normal likelihood function can be characterized as well as generalized in the context of the proposed ellipsoid construction. Motivated by this fact, the proposed ellipsoid construction is examined through a multiclass discrimination problem. Numerical results show the computational performance of the interior point method and the capabilities of the proposed generalization.

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Cites work

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Cited in

(2)

• On the algorithm of Petunin confidence ellipsoid construction
• Estimation and asymptotics for buffered probability of exceedance

Describes a project that uses

Uses Software

• SDPT3
• MVE
• UCI
• LIBSVM

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