Dual of MVE
- From: "HardWorkingGuy" <hardlyworks@xxxxxxxxxxx>
- Date: 28 Jan 2007 17:58:03 -0800
Hi,
Consider the problem (well known Minimum Volume Ellipsoid):
min -log det M
s.t. x_i^t M x_i <= 1
M is symmetric and positive semidefinite
Numerous papers on web suggest that the dual of this problem is
max \sum_{i} u_i x_i x_i^t
s.t. u >= 0
\sum_{i} u_i = 1
However, what is confusing is how the constraint \sum_{i} u_i = 1 is
obtained in the dual.
starting from the Lagrangean,
L = -log det M + \sum_i u_i ( x_i^t M x_i - 1 ), I am not able to see
how \sum_i u_i = 1 is obtained.
Any explanation would be greatly appreciated.
Thanks,
--HWG
.
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