Probability of Exceedance Penalty for Gain (pr_pen_g)
Contents
Probability of Exceedance for Gain. Probability that Linear -(Loss ) exceeds.
Syntax
pr_pen_g(w, matrix) |
short call; |
pr_pen_g_name(w, matrix) |
call with optional name. |
Parameters
is a threshold value.
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Mathematical Definition
Probability of Exceedance Penalty for Gain is calculated as follows:
,
is Probability of Exceedance Penalty for Loss function;
where
is a vector of random coefficients for Loss Function:
;
,
are scenarios of Gain Function (See section Loss and Gain Functions);
is an argument of function.
Example
See also