Matrix: Mulvey/finan512

Description: Portfolio optim, 512 scenarios, Ed Rothberg, SGI, John Mulvey,Princeton

Mulvey/finan512 graph
(undirected graph drawing)

Mulvey/finan512

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  • Matrix group: Mulvey
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  • download as a MATLAB mat-file, file size: 5 MB. Use UFget(752) or UFget('Mulvey/finan512') in MATLAB.
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    Matrix properties
    number of rows74,752
    number of columns74,752
    nonzeros596,992
    structural full rank?yes
    structural rank74,752
    # of blocks from dmperm1
    # strongly connected comp.1
    explicit zero entries0
    nonzero pattern symmetrysymmetric
    numeric value symmetrysymmetric
    typereal
    structuresymmetric
    Cholesky candidate?yes
    positive definite?yes

    authorA. Berger, J. Mulvey, E. Rothberg, R. Vanderbei
    editorE. Rothberg
    date1997
    kindeconomic problem
    2D/3D problem?no

    Ordering statistics:result
    nnz(chol(P*(A+A'+s*I)*P')) with AMD2,837,714
    Cholesky flop count6.3e+08
    nnz(L+U), no partial pivoting, with AMD5,600,676
    nnz(V) for QR, upper bound nnz(L) for LU, with COLAMD7,132,462
    nnz(R) for QR, upper bound nnz(U) for LU, with COLAMD15,382,253

    For a description of the statistics displayed above, click here.

    Maintained by Tim Davis, last updated 12-Mar-2014.
    Matrix pictures by cspy, a MATLAB function in the CSparse package.
    Matrix graphs by Yifan Hu, AT&T Labs Visualization Group.