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Given a bounded set with non-empty interior, its Chebyshev center is the center of the minimal radius ball enclosing the whole set .

In the field of parameter estimation, Chebyshev center approach tries to find an estimator for given the feasibility set , such that minimizes the worst possible estimation error for x (e.g. best worst case).

Mathematical Representation

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There exist several alternative representations for the Chebyshev center problem. Consider the set and denote its Chebyshev center by . can be computed by solving:

or alternatively by solving:

Some important optimization properties of the Chebyshev Center are:

  • Chebyshev Center is unique.
  • Chebyshev Center is feasible.

Though unique and feasible, finding Chebyshev's center might turn out to be a hard numerical optimization problem. For example, in the second representation above the inner maximization is non-convex.

Relaxed Chebyshev Center

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Let us consider the case in which the set can be represented as the intersection of ellipsoids.

with

.

By introducing an additional matrix variable , we can write the inner maximization problem of the Chebyshev center as:

with

.

Relaxing our demand on by demanding and changing the order of the min max to max min (see the references for more details) the optimization problem can be formulated as:

with

.

This last convex optimization problem is known as the Relaxed Chebyshev Center. The RCC has the following important properties:

  • RCC is an upper bound for the exact Chebyshev Center.
  • RCC is unique.
  • RCC is feasible.

Constrained Least Squares

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With a few simple mathematical tricks, it can be shown the the well-known constrained least-squares problem (CLS) is a relaxed version of the Chebyshev Center.

The original CLS problem can be formulated as:

with

.

It can be shown that this problem is equivalent to the following optimization problem:

with

.

One can see that this problem is a relaxation of the Chebyshev Center (though different for the RCC described above).

RCC vs. CLS

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A solution set for the RCC is also a solution for the CLS, and thus \math T \in V </math>. This means that the CLS estimate is the solution of a looser relaxation than that of the RCC. Hence the CLS is an upper bound for the RCC, which is an upper bound for the real Chebyshev center.

Modeling Constraints

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Since both the RCC and CLS are based upon relaxation of the real feasibility set Q, the form in which Q is defined affects its relaxed versions. This of course affects the quality of the RCC and CLS estimators. As a simple example consider the linear box constraints:

which can alternatively be written as

.

It turns out that the first representation results with an upper bound estimator for the second one, hence using it may dramatically decrease the quality of the calculated estimator. This simple example shows us that great care should be given to the formulation of constraints when relaxation of the feasibility region is used.

References

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  • Yonina Eldar, Amir Beck and Marc Teboulle, "A Minimax Chebyshev Estimator for Bounded Error Estimation" (2007), to appear in IEEE Trans. Signal Proc.
  • Amir Beck and Yonina C. Eldar, "Regularization in Regression with Bounded Noise: A Chebyshev Center Approach", SIAM J. Matrix Anal. Appl. 29 (2), 606-625 (2007).
  • [1] Stephen Boyd and Lieven Vandenberghe, "Convex Optimization", Cambridge University Press, 2004