Supplementary Material for: Adversarial Regression with Doubly Non-negative Weighting Matrices

In this supplementary, we give details for the proofs of our technical results in Section A. In Section B, In Section C, we illustrate additional empirical results. Proposition 3.4, we begin by computing the support function of the convex cone of symmetric positive Tr null A Ω null 0. Therefore, the desired result follows.For Proposition 3.4 Proof of Proposition 3.4. Thus, the infimum in problem (A.2) can be restricted to γ > 0. This observation completes the proof. The following elementary fact is well known. For completeness, we include a proof here.