Scale-invariant clustering with minimum volume ellipsoids

This paper develops theory and algorithms concerning a new metric for clustering data. The metric minimizes the total volume of clusters, where the volume of a cluster is defined as the volume of the minimum volume ellipsoid (MVE) enclosing all data points in the cluster. This metric is scale-invariant, that is, the optimal clusters are invariant under an affine transformation of the data space. We introduce the concept of outliers in the new metric and show that the proposed method of treating outliers asymptotically recovers the data distribution when the data comes from a single multivariate Gaussian distribution. Two heuristic algorithms are presented that attempt to optimize the new metric. On a series of empirical studies with Gaussian distributed simulated data, we show that volume-based clustering outperforms well-known clustering methods such as k-means, Wardʹs method, SOM, and model-based clustering.