bv_cvxbook_extra_exercises

E the dimensions of the qp number of variables and

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Unformatted text preview: to solve this problem. You must say clearly what your variables are, what problem you solve, and why the problem is convex. (b) Carry out your method on the data given in rob_min_vol_ellips_data.m. Plot the optimal trade-off curve of ellipsoid volume versus total Mahalanobis distance. For some selected points on the trade-off curve, plot the ellipsoid and the points (which are in R2 ). We are only interested in the region of the curve where the ellipsoid volume is within a factor of ten (say) of the minimum volume ellipsoid that covers all the points. Important. Depending on how you formulate the problem, you might encounter problems that are unbounded below, or where CVX encounters numerical difficulty. Just avoid these by appropriate choice of parameter. Very important. If you use Matlab version 7.0 (which is filled with bugs) you might find that functions involving determinants don’t work in CVX. If you use this version of Matlab, then you must download the file blkdiag.m on the course w...
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This note was uploaded on 09/10/2013 for the course C 231 taught by Professor F.borrelli during the Fall '13 term at University of California, Berkeley.

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