L2 Norm (lp_norm)
Contents
L2 Norm. Squareroot of sum of squares of components of a vector, i.e., L2 norm of a vector.
Syntax
lp_norm(2, matrix) |
short call; |
lp_norm_name(2, matrix)) |
call with optional name. |
Parameters
matrix is a PSG matrix:
where the header row contains names of variables. The second row contains numerical data.
Mathematical Definition
L2 Norm function is calculated as follows:
,
where
is a Lp Norm function,
is an argument of L2 Norm function.
Example
See also
L1 Norm, Lp Norm, L-Infinity Norm, Scaled CVaR Norm