Conditioning theory of the equality constrained quadratic programming and its applications

DOI10.1080/03081087.2019.1623858MaRDI QIDQ5858718zbMATH OpenOpenAlexWikidataFDO

Authors Shaoxin Wang, Hu Yang

Publication date 14 April 2021

Published in Linear and Multilinear Algebra (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03081087.2019.1623858

zbMATH Keywords

condition numbercovariance matrix estimatorequality constrained quadratic programmingfirst-order perturbation boundportfolio selection

Mathematics Subject Classification ID

Conditioning of matrices (15A12) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Numerical computation of matrix norms, conditioning, scaling (65F35)

Recommendations

• Error analysis of an algorithm for equality-constrained quadratic programming problems
• scientific article; zbMATH DE number 1092929
• Condition number theorems in linear-quadratic optimization
• Stability of linearly constrained convex quadratic programs
• On practical conditions for the existence and uniqueness of solutions to the general equality quadratic programming problem

Cites work

• A condition analysis of the weighted linear least squares problem using dual norms
• A contribution to the theory of condition
• A note on the condition number of the scaled total least squares problem
• A Subspace Error Estimate for Linear Systems
• A Theory of Condition
• A well-conditioned estimator for large-dimensional covariance matrices
• Accuracy and Stability of Numerical Algorithms
• Algebraic properties of the rank-deficient equality-constrained and weighted least squares problems
• Condition-number-regularized covariance estimation
• Condition. The geometry of numerical algorithms
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• Mixed and componentwise condition numbers for a linear function of the solution of the total least squares problem
• Mixed, Componentwise, and Structured Condition Numbers
• Numerical Optimization
• On condition numbers for the canonical generalized polar decompostion of real matrices
• On mixed and componentwise condition numbers for Moore–Penrose inverse and linear least squares problems
• On the condition number of linear least squares problems in a weighted Frobenius norm
• On the partial condition numbers for the indefinite least squares problem
• Partial condition number for the equality constrained linear least squares problem
• Perturbation bounds for constrained and weighted least squares problems
• Positive-definite _1-penalized estimation of large covariance matrices
• Probabilistic upper bounds for the matrix two-norm
• Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
• Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Small sample statistical condition estimation for the total least squares problem
• Small-Sample Statistical Condition Estimates for General Matrix Functions
• The effect of L₁ penalization on condition number constrained estimation of precision matrix
• Vast portfolio selection with gross-exposure constraints

Cited in

(4)

• A contribution to the conditioning theory of the indefinite least squares problems
• On the solution of equality constrained quadratic programming problems arising in optimization
• On the condition number theory of the equality constrained indefinite least squares problem
• scientific article; zbMATH DE number 2143158 (Why is no real title available?)

Describes a project that uses

Uses Software

• mctoolbox

This page was built for publication: Conditioning theory of the equality constrained quadratic programming and its applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5858718)