Linear convergence of modified Frank-Wolfe algorithms

DATE: September 22, 2009

TIME: 11:00 AM – 12:00 PM

LOCATION: Executive classroom

FEES: none

EVENT CONTACT:

Renato Monteiro, ISyE
Contact Renato Monteiro
404-894-2300

TITLE: Linear convergence of modified Frank-Wolfe algorithms
for ellipsoid optimization algorithms

SPEAKER: Mike Todd

ABSTRACT:

We discuss the convergence properties of first-order methods for two problems that arise in computational geometry and statistics: the minimum-volume enclosing ellipsoid problem and the minimum-area enclosing ellipsoidal cylinder problem for a set of m points in R^n. The algorithms are old but the analysis is new, and the methods are remarkably effective at solving large-scale problems to high accuracy.