Code covered by the BSD License  

Highlights from
Risk and Asset Allocation

image thumbnail

Risk and Asset Allocation


Attilio Meucci (view profile)


16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

% BWBLKSLV Solves block sparse upper-triangular system.
%    y = bwblkslv(L,b) yields the same result as
%              y(L.perm,:) = L.L'\b
%    However, BWBLKSLV is faster than the built-in operator "\",
%    because it uses dense linear algebra and loop-unrolling on
%    supernodes.
%    Typical use, with X sparse m x m positive definite and b is m x n:
%            L = sparchol(symbchol(X),X);
%            y = bwblkslv(L,fwblkslv(L,b));
%    Then y solves X*y=b.
% See also symbchol, fwblkslv, mldivide, mrdivide

function y = bwblkslv(L,b)

 %   This file is part of CholTool 1.00
 %   Copyright (C) 1998 Jos F. Sturm
 %   CRL, McMaster University, Canada.
 %   Supported by the Netherlands Organization for Scientific Research (NWO).
 %   This program is free software; you can redistribute it and/or modify
 %   it under the terms of the GNU General Public License as published by
 %   the Free Software Foundation; either version 2 of the License, or
 %   (at your option) any later version.
 %   This program is distributed in the hope that it will be useful,
 %   but WITHOUT ANY WARRANTY; without even the implied warranty of
 %   GNU General Public License for more details.
 %   You should have received a copy of the GNU General Public License
 %   along with this program; if not, write to the Free Software
 %   Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.

error('At OS prompt, type "make" to create cholTool mex-files.')

Contact us