- Research Article
- 10.1007/s00453-026-01373-9
Convex relaxation for the generalized maximum-entropy sampling problem
- Feb 17, 2026
- Algorithmica
- Gabriel Ponte + 2 more +2
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, $$0<t\le s <n$$ 0 < t ≤ 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 $$s-t$$ s - t is very small.
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