Fast Algorithms for Projection on an Ellipsoid

摘要: Several fast algorithms are proposed for the problem of projecting a point onto general ellipsoid. To avoid direct estimation spectral radius in Lin--Han algorithm, we provide maximal $2$-dimensional inside ball algorithm and sequential projection algorithm. However, find that solution procedure former may tend to generate some reduced ellipsoids, latter produce zigzags. Therefore investigate hybrid use two algorithms. Our numerical experiments show all algorithms, even suitable large-scale problems much faster than Linear convergence is established. Possible extensions also discussed.