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Risk and Asset Allocation

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Risk and Asset Allocation


Attilio Meucci (view profile)


16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

% SPARBWSLV Solves block sparse upper-triangular system.
%    y = sparbwslv(L,b) yields the same result as
%              y(L.perm,:) = L.L'\b
%    However, SPARBWSLV 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);
%            L.d(L.dep) = inf;
%            y = sparbwslv(L,sparfwslv(L,b) ./ L.d);
%    Then y solves X*y=b.
% See also  symbchol, sparchol, sparfwslv, mldivide, mrdivide.

function y = sparbwslv(L,b)
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   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.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA

y = bwblkslv(L,b);

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