Calculation in Run-File Environment
Contents
Example: Function call: avg_cvar_risk_ni_g(0.85,matrix_1,matrix_5).Parameter = 0.85 and
matrix_1:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
scenario_probability |
1 7 |
4 -5 |
8 4 |
3 -6 |
-2 11 |
0.4 0.6 |
The matrix_1 is in file matrix_1.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
matrix_5:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
11 7 |
3 2 |
2 6 |
0 16 |
9 1 |
The matrix_5 is in file matrix_5.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
Average CVaR Risk for Gain Normal Independent is calculated at point_1:
component_name |
value |
x1 x2 x3 x4 |
1 1 1 1 |
The point point_1 is in file point_1.txt (see PSG Point).
To calculate avg_cvar_risk_ni_g at point_1 run problem in file problem_avg_cvar_risk_ni_g_test.txt (see, Calculate Problem):
calculate
Point: point_1
Value:
avg_cvar_risk_ni_g(0.85,matrix_1,matrix_5)
Value of avg_cvar_risk_ni_g(0.85,matrix_1,matrix_5) at point_1 equals 23.0559
Files problem_avg_cvar_risk_ni_g.txt, matrix_1.txt, matrix_5.txt and point_1.txt are in folder .\Aorda\PSG\Examples\Functions\ avg_cvar_risk_ni_g_test.