%0 Computer Program %A Khodakaramzadeh, Shabnam %D 2025 %T Factor Model MATLAB code underlying the publication: A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems %U %R 10.4121/f25270e0-4054-4e9d-85da-5908a07a3874.v1 %K Factor model %K covariance matrix estimation %K first-order algorithms %K dimension reduction %X
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'.
%I 4TU.ResearchData