functionsensitivity

Contents

functionsensitivity subroutine calculates sensitivities (Gradient) of a PSG function (see PSG Function) on some point (see PSG Point).

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•	Description

•	Intput Arguments

•	Output Arguments

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•

Syntax

[fval] = functionsensitivity(risk, w, H, c, p, a)

Description

[fval] = functionsensitivity(risk, w, H, c, p, a) returns the vector of a function sensitivities calculated on point a.

Intput Arguments

risk	string with description of PSG function;
w	parameter (real) of the PSG function. If parameter is not present, then substitute parameter by square brackets “[]” );
H	matrix for PSG function;
c	vector of benchmark for PSG function. If the benchmark is not used, then substitute it by square brackets “[]”;
p	vector of probabilities for PSG function. If all probabilities are equal, you can substitute p by square brackets “[]”;
a	vector for point, on which the function is calculated.

Output Arguments

fval	functions sensitivities in the given point.

Remarks

functionsensitivity subroutine does NOT calculate sensitivities of the Linear Multiple function.

Examples

Run the following example from the folder ./Aorda/PSG/MATLAB/Examples/Problems/Example_func_sensitivity_cvar_risk.m or type the next code in MATLAB:

Define data:

H = [1 4 8 3;7 -5 4 -6;-2 8 -1 0;0 -3 -4 9];

c1 = [-2;11;6;10];

p1 = [0.2;0.2;0.3;0.3];

a = [1;1;1;1];

Calculate sensitivity of cvar_risk function with parameter 0.65 at point 'a':

[point1] = functionsensitivity('cvar_risk', 0.65, H, c1, p1, a);

You get:

point1 =

-4.0000

4.1429

-0.5714

-0.4286