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DOI: 10.4121/f25270e0-4054-4e9d-85da-5908a07a3874

Khodakaramzadeh, Shabnam (2025): Factor Model MATLAB code underlying the publication: A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems. Version 1. 4TU.ResearchData. software. https://doi.org/10.4121/f25270e0-4054-4e9d-85da-5908a07a3874.v1

Categories

• Engineering
• Mathematical Sciences

Keywords

covariance matrix estimation dimension reduction Factor model first-order algorithms

Licence

BSD-3-Clause

Interoperability

• RO-Crate Metadata

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by Shabnam Khodakaramzadeh

The factor model problem focuses on the decomposition of a covariance matrix $\Sigma$ to low-rank and diagnonal positive semidefinite matrices. In practice, $\Sigma$ is often not available, and only its empirical counterpart, $\hat{\Sigma}$, is available. To robustify to this approximation error, a common practice is to consider a family of covariance matrices in the vicinity of $\Sigma$.

The linked repository contains MATLAB files corresponding to the numerical results of the paper 'A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems'.

History

• 2025-06-17 first online, published, posted

Publisher

4TU.ResearchData

Format

.m, .md

References

• https://github.com/skhodakaram/Factor_Model

Code hosting project url

https://github.com/skhodakaram/Factor_Model

Organizations

TU Delft, Faculty of Mechanical Engineering, Delft Center for Systems and Control