Matrix: Mulvey/pfinan512

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

Mulvey/pfinan512 graph
(undirected graph drawing)


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  • download as a MATLAB mat-file, file size: 881 KB. Use UFget(753) or UFget('Mulvey/pfinan512') in MATLAB.
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    Matrix properties
    number of rows74,752
    number of columns74,752
    structural full rank?yes
    structural rank74,752
    # of blocks from dmperm1
    # strongly connected comp.1
    explicit zero entries0
    nonzero pattern symmetrysymmetric
    numeric value symmetrysymmetric
    Cholesky candidate?yes
    positive definite?no

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


    This matrix is the nonzero pattern of Mulvey/finan512

    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.