We analyze two popular semidefinite programming relaxations for quadratically constrained quadratic programs with matrix variables. These relaxations are based on vector lifting and on matrix lifting; ...

Vol. 21, No. 1, ET 20th Anniversary Colloquium: Automated Inference and the Future of Econometrics (Feb., 2005), pp. 158-170 (13 pages) This paper proposes a new class of heteroskedastic and ...

We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage ...

Matrix inequalities and means constitute a vibrant area of contemporary mathematical research, blending classical matrix theory with modern applications in numerical analysis, control theory and ...