## Robust Least Square Semidefinite Programming with Applications to Correlation Stress Testing

In this paper, we consider a least square semidefinite programming problem under ellipsoidal data uncertainty. We show that the robustification of this uncertain problem can be reformulated as a semidefinite linear programming problem with an additional second-order cone constraint. We then provide an explicit quantitative sensitivity analysis on how the solution under the robustification depends … Read more