Computing the Signed Distance Between Overlapping Ellipsoids

Computing the signed distance between two ellipsoids is a convex optimization problem when the two ellipsoids have no intersection, but it becomes nonconvex when the ellipsoids overlap. Efficient algorithms for convex optimization problems are thus not guaranteed to find the correct signed distance between overlapping ellipsoids. In this paper, we first show that computing the signed distance is equivalent to minimizing the norm along the boundary of the Minkowski difference. We then derive an algorithm with running time $O(n^6)$, where $n$ is the dimension of the ellipsoids, that obtains a global minimizer on the boundary of the Minkowski difference and hence provides the exact signed distance. The algorithm first finds all the points that satisfy the Karush--Kuhn--Tucker (KKT) conditions, and then identifies a relevant KKT point with the smallest signed distance. The primary difficulty in computing the KKT points is that they are the solutions of two bivariate rational equations, whose poles are not kno...

[1]  Takafumi Kanamori,et al.  A Unified Classification Model Based on Robust Optimization , 2013, Neural Computation.

[2]  Walter Briec,et al.  Minimum Distance to the Complement of a Convex Set: Duality Result , 1997 .

[3]  P. Varaiya,et al.  Ellipsoidal Toolbox (ET) , 2006, Proceedings of the 45th IEEE Conference on Decision and Control.

[4]  M. Tismenetsky,et al.  The Bezoutian and the eigenvalue-separation problem for matrix polynomials , 1982 .

[5]  Bor Plestenjak,et al.  On the quadratic two-parameter eigenvalue problem and its linearization☆ , 2010 .

[6]  Michael L. Overton,et al.  Narrowing the difficulty gap for the Celis–Dennis–Tapia problem , 2015, Math. Program..

[7]  M. R. Celis A TRUST REGION STRATEGY FOR NONLINEAR EQUALITY CONSTRAINED OPTIMIZATION (NONLINEAR PROGRAMMING, SEQUENTIAL QUADRATIC) , 1985 .

[8]  P. Lancaster,et al.  11. Factorization of Self-Adjoint Matrix Polynomials , 2009 .

[9]  Mei Han An,et al.  accuracy and stability of numerical algorithms , 1991 .

[10]  Michiel E. Hochstenbach,et al.  On linearizations of the quadratic two-parameter eigenvalue problems , 2012 .

[11]  Daniel Bienstock,et al.  A Note on Polynomial Solvability of the CDT Problem , 2014, SIAM J. Optim..

[12]  Alex Townsend,et al.  Computing the common zeros of two bivariate functions via Bézout resultants , 2015, Numerische Mathematik.

[13]  Anhua Lin,et al.  On the Distance between Two Ellipsoids , 2002, SIAM J. Optim..

[14]  Chiranjib Bhattacharyya,et al.  Maximum Margin Classifiers with Specified False Positive and False Negative Error Rates , 2007, SDM.

[15]  Karl Meerbergen,et al.  The Quadratic Eigenvalue Problem , 2001, SIAM Rev..

[16]  James Demmel,et al.  The generalized Schur decomposition of an arbitrary pencil A–λB—robust software with error bounds and applications. Part I: theory and algorithms , 1993, TOMS.

[17]  Shuzhong Zhang,et al.  Strong Duality for the CDT Subproblem: A Necessary and Sufficient Condition , 2008, SIAM J. Optim..

[18]  Chiranjib Bhattacharyya,et al.  Second Order Cone Programming Formulations for Feature Selection , 2004, J. Mach. Learn. Res..

[19]  Stephen J. Wright,et al.  Numerical Optimization , 2018, Fundamental Statistical Inference.

[20]  José Mario Martínez,et al.  Local Minimizers of Quadratic Functions on Euclidean Balls and Spheres , 1994, SIAM J. Optim..

[21]  Dario Bini,et al.  Computing curve intersection by means of simultaneous iterations , 2006, Numerical Algorithms.

[22]  Stephen P. Boyd,et al.  Convex Optimization , 2004, Algorithms and Theory of Computation Handbook.

[23]  G. Forsythe,et al.  On the Stationary Values of a Second-Degree Polynomial on the Unit Sphere , 1965 .

[24]  Akiko Takeda,et al.  Global Optimization Methods for Extended Fisher Discriminant Analysis , 2014, AISTATS.

[25]  M. El-Alem A global convergence theory for the Celis-Dennis-Tapia trust-region algorithm for constrained optimization , 1991 .

[26]  Michiel E. Hochstenbach,et al.  Polynomial two-parameter eigenvalue problems and matrix pencil methods for stability of delay-differential equations , 2008, 0809.3634.

[27]  Hyunjoong Kim,et al.  Functional Analysis I , 2017 .

[28]  Gene H. Golub,et al.  Matrix computations , 1983 .

[29]  F. V. Atkinson,et al.  Multiparameter eigenvalue problems , 1972 .