johannesulf / nautilus

Neural Network-Boosted Importance Nested Sampling for Bayesian Statistics
https://nautilus-sampler.readthedocs.io
MIT License
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improved algorithm to find the minimum-volume enclosing ellipsoid #32

Closed johannesulf closed 1 year ago

johannesulf commented 1 year ago

The following PR changes the algorithm for finding the minimum-volume enclosing ellipsoid (MVEE). The original algorithm was based on the Khachiyan algorithm. Now, nautilus is using a slightly modified version of this original algorithm that is significantly faster, especially in high dimensions. A downside is that only the original algorithm is mathematically proven to converge to the MVEE. However, in all tests I performed, the results of the new algorithm were basically the same (or better in high dimensions since it could be run longer).