New features in SeDuMi 1.1 since 1.05R5
20041103 Feature: pars.stopat can now be a vector. The algorithm enters debug mode at each iteration specified in pars.stopat. The order does not matter, invalid values are ignored.
20041111 Fix: Cleaned up the code with M-Lint. All unused variables and never used assignments are removed. All | and & are replaced with || and && whenever it was possible. This speeds up conditional statements in the preprocessing phase. Unused .m and .c files are removed from the distribution.
20041129 Feature: Timing is changed. So far SeDuMi reported the CPU time spent in the main IPM loop. Now info.timing is a vector containing the time spent in the preprocessing, IPM and postprocessing, respectively. The old info.cpusec contains the total time of the algorithm. This does not make much difference now, since 99% of the time is spent in the IPM loop, but if more stuff is added to the pre- and postprocessing, this can be an issue.
20041129 Fix: Many if-then statements checking for data validity in the C code were replaced by mxAssert statements. The only exceptions are memory failure checks.
20040103 Fix: Fixed a small bug in wregion.m concerning division by zero. (Johan Lofberg)
20050110 Fix: A small change in Amul.m resulted in drastic speed improvement for middle-sized problems. Additionally, sum(c.*x) is much faster than c'*x if c and x are sparse. The moral is that taking the transpose of a sparse matrix is slow.
20050110 Fix: blkchol is now invoked directly from SeDuMi.m without sparchol.
20050110 Fix: Minor speed improvement in popK.m.
20050120 Fix: Minor speed improvement in the sdmaux* files (loop unrolling).
20050202 Feature: If pars.errors=1 then SeDuMi outputs the six errors measures defined in the 7th DIMACS challenge
paper that is available at http://plato.asu.edu/dimacs/node3.html. These are in info.err1, ...info.err6.
20050302 Fix: New default values. pars.eps=1e-8, pars.stepdif=2, pars.cg.qprec=1.
20050302 Feature: Preprocessing routines are now included. Diagonal SDP bolcks are converted into nonnegative variables. Free variables are handled in a quadratic cone, split free veriables are detected in the linear part. The sparsity structure of A is corrected at the end of preprocessing.
20050302 Feature: New options to control preprocessing: pars.free, pars.sdp
20050302 Feature: Included a simple heuristic to turn step-differentiation on/off.
20050302 Fix: If ADA is actually dense then the symbolic Cholesky factorization and the minimum degree ordering are not performed. Also in this case SYMBADA is created directly as a fully dense matrix of ones stored as sparse.
20050302 Fix: The 'See also' references at the end of the help portions are now clickable.
20050510 Feature: The binaries are now built from Matlab, see Install.txt for details.
20050610 Fix: && and || were replaced by & and | to make the package compatible with Matlab 6.0 (R12)
20050621 Fix: A bug about complex variables has been reported by Michael C. Grant, the correct version is now available.
20050622 Fix: A bug about free variable handling has been reported by Johan L�fberg, the fixed version is now posted.
20060712 Fix: A bug was discovered by Paul Tseng when using free variables together with rotated Lorentz cones.
20061010 Fix: The solutions were incorrect if the error measures were turned on.
20061010 Fix: Matlab R2006B does not support fprintf with fid=0, (i.e., no output). a Workaround is provided. (Thanks to Johan L�fberg)
20061010 Fix: The semidefinite preprocessing assumed that there are no free variables.
20061010 Fix: Michael Grant corrected a bug in the postprocessing phase.
20061010 Fix: A new, completely rewritten SDPA format reader is provided in the conversion folder. It is fast and it follows the SDPA standard.
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Matlab实现风险和金融资产配置管理
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共9章,外加一个额外的章节 function RunAnalysis(Dates,Data) % this function performs simple invariance (i.i.d.) tests on a time series % 1. it checks that the variables are identically distributed by looking at the % histogram of two subsamples % 2. it checks that the variables are independent by looking at the 1-lag scatter plot % under i.i.d. the location-dispersion ellipsoid should be a circle % see "Risk and Asset Allocation"-Springer (2005), by A. Meucci
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Matlab实现风险和金融资产配置管理 (507个子文件)
pretransfo.asv 12KB
posttransfo.asv 4KB
Changelog.asv 4KB
S_EllipsoidLogNormal.asv 2KB
S_Normal.asv 2KB
S_EllipsoidNormal.asv 2KB
S_NormalCopulaSimul.asv 2KB
S_PCA2Dim.asv 2KB
symfct.c 78KB
dpr1fact.c 36KB
ordmmd.c 35KB
spscale.c 35KB
triuaux.c 29KB
blkchol2.c 26KB
getada3.c 25KB
vectril.c 22KB
makereal.c 21KB
urotorder.c 20KB
factorK.c 19KB
blkchol.c 19KB
qreshape.c 17KB
eigK.c 17KB
symbfwblk.c 16KB
reflect.c 15KB
incorder.c 15KB
symbbwblk.c 14KB
ddot.c 13KB
fwblkslv.c 13KB
bwblkslv.c 12KB
getada1.c 12KB
qrK.c 11KB
bwdpr1.c 11KB
adendotd.c 11KB
psdeig.c 10KB
symfctmex.c 10KB
qframev.c 10KB
iswnbr.c 10KB
findblks.c 9KB
whichcpx.c 9KB
psdfactor.c 9KB
psdinvjmul.c 9KB
finsymbden.c 9KB
getada2.c 9KB
fwdpr1.c 8KB
sdmauxCmp.c 8KB
cholsplit.c 8KB
choltmpsiz.c 8KB
statsK.c 7KB
auxgivens.c 7KB
psdinvscale.c 7KB
blkaux.c 7KB
extractA.c 7KB
symbchol.c 7KB
psdjmul.c 7KB
psdframeit.c 7KB
adenscale.c 7KB
givensrot.c 7KB
vecsym.c 7KB
psdscale.c 6KB
invcholfac.c 6KB
triumtriu.c 6KB
sdmauxCone.c 6KB
sdmauxTriu.c 6KB
partitA.c 6KB
bwblkslv2.c 6KB
qscaleK.c 6KB
sdmauxScalarmul.c 6KB
ordmmdmex.c 5KB
sortnnz.c 5KB
sqrtinv.c 5KB
quadadd.c 5KB
blkmul.c 5KB
qblkmul.c 5KB
qinvsqrt.c 5KB
auxfwdpr1.c 5KB
eyeK.c 4KB
sdmauxRdot.c 4KB
mJdetd.c 3KB
sdmauxFill.c 3KB
sdmauxTriudot.c 3KB
Thumbs.db 528KB
Thumbs.db 113KB
Thumbs.db 104KB
Thumbs.db 94KB
Thumbs.db 85KB
Thumbs.db 82KB
Thumbs.db 77KB
Thumbs.db 72KB
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