Struct FactorQuad 

pub struct FactorQuad {
    pub factors: Matrix,
    pub omega: FactorCovariance,
    pub diagonal: Vec<f64>,
}

A positive-semidefinite quadratic represented as (Q = F\Omega F^\mathsf{T} + \operatorname{diag}(d)).

Fields

factors: Matrix

Asset-by-factor exposure matrix.

omega: FactorCovariance

Factor covariance.

diagonal: Vec<f64>

Non-negative idiosyncratic diagonal.

Implementations

impl FactorQuad

pub fn new( factors: Matrix, omega: FactorCovariance, diagonal: Vec<f64>, ) -> Result<FactorQuad, ProblemError>

Creates a factor quadratic after checking dimensions and convexity data.

Positive semidefiniteness of a dense omega is checked during solver setup, where its Cholesky-like factor is needed.

Errors

Returns a ProblemError for inconsistent dimensions, non-finite values, asymmetry, or negative diagonal entries.

pub fn dimension(&self) -> usize

Number of decision variables.

pub fn factor_count(&self) -> usize

Number of latent factors.

pub fn apply(&self, x: &[f64]) -> Vec<f64>

Computes Q * x without materializing Q.

Trait Implementations

impl Clone for FactorQuad

fn clone(&self) -> FactorQuad

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for FactorQuad

fn fmt(&self, f: &mut Formatter<'_>) -> Result<(), Error>

Formats the value using the given formatter.

impl PartialEq for FactorQuad

fn eq(&self, other: &FactorQuad) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for FactorQuad