Convex relaxation for the generalized maximum-entropy sampling problem

Abstract

The generalized maximum-entropy sampling problem (GMESP) is to select an order-$s$ principal submatrix from an order-$n$ covariance matrix, to maximize the product of its $t$ greatest eigenvalues, $0<t\le s<n$. Introduced more than 25 years ago, GMESP is a natural generalization of two fundamental problems in statistical design theory: (i) maximum-entropy sampling problem (MESP); (ii) binary D-optimality (D-Opt). In the general case, it can be motivated by a selection problem in the context of principal component analysis (PCA). We introduce the first convex-optimization based relaxation for GMESP, study its behavior, compare it to an earlier spectral bound, and demonstrate its use in a branch-and-bound scheme. We find that such an approach is practical when $s-t$ is very small.