Oct 6, 2012

This subdirectory contains the following Matlab source codes and folders:

lssdp_gp.m     Implementation of SPG method for solving Robust LSSDP.

gradient.m
objective.m    Subroutines of lssdp_gp for computing gradient and objective value.

soc_proj.m     Computes projection onto the second-order cone.

Implementation and numerical experience with the above codes are described in the paper: 
    Guoyin Li, Alfred Ka Chun Ma and Ting Kei Pong
    "Robust least square semidefinite programming with applications to correlation stress testing",
    Submitted.
This code was last updated on Nov 6, 2012.

Questions/comments/suggestions about the codes are welcome.  

Guoyin Li, g.li@unsw.edu.au
Alfred Ka Chun Ma, alfred@baf.msmail.cuhk.edu.hk
Ting Kei Pong, ptingkei@uwaterloo.ca