Matrix of Scenarios
Contents
Matrix of Scenarios defines scenarios of random variables (possible future realizations of random variables). It is a special type of PSG Matrix.
Syntax
matrix_<matrix_name>
Description
Matrix of Scenarios has the following structure:
Every row of the Matrix of Scenarios (except the first row) defines a scenario of the random vector with component names (name1, ...., name I) with scenario probability (defined by optional variable scenario_probability) and scenario benchmark (defined by optional variable scenario_benchmark). Matrix of Scenarios may have an optional id column numbering scenarios.
Remarks
| • | Name of matrix consist of two parts: "matrix_" and "<matrix_name>" (user specified). |
| • | Name of matrix should not exceed 128 symbols, it is not case sensitive, and includes only alphabetic characters, numbers, and underscore sign, “_”. |
| • | If probabilities of scenarios are equal, then the column scenario_probability may be omitted. |
| • | Probabilities of scenarios should satisfy the following condition: |
If this condition is not satisfied, PSG optimization solver will normalize all probabilities and report warning.
| • | If scenario_benchmark column equals zero, it can be omitted. |
Examples of functions using Matrix of Scenarios
var_risk, cvar_risk, meanabs_pen
Example of Matrix of Scenarios
See also