% Section 8.4.1, Boyd & Vandenberghe "Convex Optimization"
% Almir Mutapcic - 10/05
% (a figure is generated)
%
% Given a finite set of points x_i in R^2, we find the minimum volume
% ellipsoid (described by matrix A and vector b) that covers all of
% the points by solving the optimization problem:
%
%           maximize     log det A
%           subject to   || A x_i + b || <= 1   for all i
%
% CVX cannot yet handle the logdet function, but this problem can be
% represented in an equivalent way as follows:
%
%           maximize     det(A)^(1/n)
%           subject to   || A x_i + b || <= 1   for all i
%
% The expression det(A)^(1/n) is SDP-representable, and is implemented
% by the MATLAB function det_rootn().

% Generate data
x = [ 0.55  0.0;
      0.25  0.35
     -0.2   0.2
     -0.25 -0.1
     -0.0  -0.3
      0.4  -0.2 ]';
[n,m] = size(x);

% Create and solve the model
cvx_begin
    variable A(n,n) symmetric
    variable b(n)
    maximize( det_rootn( A ) )
    subject to
        norms( A * x + b * ones( 1, m ), 2 ) <= 1;
cvx_end

% Plot the results
clf
noangles = 200;
angles   = linspace( 0, 2 * pi, noangles );
ellipse  = A \ [ cos(angles) - b(1) ; sin(angles) - b(2) ];
plot( x(1,:), x(2,:), 'ro', ellipse(1,:), ellipse(2,:), 'b-' );
axis off

 
Calling Mosek 9.1.9: 38 variables, 16 equality constraints
   For improved efficiency, Mosek is solving the dual problem.
------------------------------------------------------------

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:32:15)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: MACOSX/64-X86

Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 16              
  Cones                  : 7               
  Scalar variables       : 28              
  Matrix variables       : 1               
  Integer variables      : 0               

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator - tries                  : 1                 time                   : 0.00            
Lin. dep.  - tries                  : 1                 time                   : 0.00            
Lin. dep.  - number                 : 0               
Presolve terminated. Time: 0.00    
Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 16              
  Cones                  : 7               
  Scalar variables       : 28              
  Matrix variables       : 1               
  Integer variables      : 0               

Optimizer  - threads                : 8               
Optimizer  - solved problem         : the primal      
Optimizer  - Constraints            : 8
Optimizer  - Cones                  : 7
Optimizer  - Scalar variables       : 21                conic                  : 21              
Optimizer  - Semi-definite variables: 1                 scalarized             : 10              
Factor     - setup time             : 0.00              dense det. time        : 0.00            
Factor     - ML order time          : 0.00              GP order time          : 0.00            
Factor     - nonzeros before factor : 30                after factor           : 30              
Factor     - dense dim.             : 0                 flops                  : 6.33e+02        
ITE PFEAS    DFEAS    GFEAS    PRSTATUS   POBJ              DOBJ              MU       TIME  
0   1.0e+00  1.0e+00  7.0e+00  0.00e+00   6.000000000e+00   0.000000000e+00   1.0e+00  0.00  
1   2.4e-01  2.4e-01  8.1e-01  9.31e-01   1.758136793e+00   3.039930564e-01   2.4e-01  0.01  
2   6.1e-02  6.1e-02  2.0e-01  4.69e-01   2.204950365e+00   1.654314776e+00   6.1e-02  0.01  
3   1.1e-02  1.1e-02  2.1e-02  5.02e-01   2.674148781e+00   2.557685367e+00   1.1e-02  0.01  
4   1.7e-03  1.7e-03  1.2e-03  9.31e-01   2.685852208e+00   2.668281579e+00   1.7e-03  0.01  
5   2.0e-04  2.0e-04  4.7e-05  9.92e-01   2.683542756e+00   2.681442137e+00   2.0e-04  0.01  
6   1.6e-05  1.6e-05  1.1e-06  9.99e-01   2.683838025e+00   2.683667526e+00   1.6e-05  0.01  
7   1.6e-06  1.6e-06  3.4e-08  1.00e+00   2.683972568e+00   2.683955696e+00   1.6e-06  0.01  
8   7.3e-08  7.3e-08  3.4e-10  1.00e+00   2.683985203e+00   2.683984423e+00   7.3e-08  0.01  
9   4.8e-09  4.9e-09  5.7e-12  1.00e+00   2.683985406e+00   2.683985354e+00   4.8e-09  0.01  
Optimizer terminated. Time: 0.02    


Interior-point solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: 2.6839854056e+00    nrm: 1e+00    Viol.  con: 2e-08    var: 0e+00    barvar: 0e+00    cones: 0e+00  
  Dual.    obj: 2.6839853543e+00    nrm: 5e+00    Viol.  con: 0e+00    var: 4e-13    barvar: 1e-08    cones: 0e+00  
Optimizer summary
  Optimizer                 -                        time: 0.02    
    Interior-point          - iterations : 9         time: 0.01    
      Basis identification  -                        time: 0.00    
        Primal              - iterations : 0         time: 0.00    
        Dual                - iterations : 0         time: 0.00    
        Clean primal        - iterations : 0         time: 0.00    
        Clean dual          - iterations : 0         time: 0.00    
    Simplex                 -                        time: 0.00    
      Primal simplex        - iterations : 0         time: 0.00    
      Dual simplex          - iterations : 0         time: 0.00    
    Mixed integer           - relaxations: 0         time: 0.00    

------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +2.68399