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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

symfctmex(adjncy, perm, cachsz)
% [L,perm,xsuper,split,tmpsiz] = symfctmex(X, perm, cachsz)
%   Computes sparse symbolic factor L, updated permutation PERM,
%   super-node partition XSUPER, and a splitting of supernodes
%   (SPLIT) to optimize use of the computer cache (assuming
%   CACHSZ*1024 byte available).   TMPSIZ is the amount of floating
%   point working storage that has to be allocated within blkfctmex.
%   Invokes ORNL block Cholesky library (Fortran).
% **********  INTERNAL FUNCTION OF CHOLTOOL  **********
% See also sedumi

function [L,perm,xsuper,split,tmpsiz] = symfctmex(adjncy, perm, cachsz)

% 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

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

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