Maximum Component Positive (max_comp_pos)
Contents
Maximum Component Positive. Maximal (largest) scaled component of a vector
Syntax
max_comp_pos(matrix) |
short call; |
max_comp_pos_name(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
Maximum Component Positive function is calculated as follows:
,
where
is Maximum Risk function,
,
is an argument of Maximum Component Positive function.
Example
See also
Polynomial Absolute, Relative Entropy, CVaR Component Positive, CVaR Component Negative, CVaR Component Absolute, VaR Component Positive, VaR Component Negative, Maximum Component Negative, Maximum Component Absolute, Quadratic Function, Squareroot Quadratic, Logarithms Sum