Probability of Exceedance Multiple Normal Independent (prmulti_pen_ni)
Contents
Probability of Exceedance Multiple Normal Independent. There are M Linear Loss functions with independent normally distributed random coefficients.
Probability of Exceedance Multiple Normal Independent = 1-(Probability that all M Linear Loss functions are below the threshold).
Syntax
prmulti_pen_ni(w,matrix_mn,matrix_vr) |
short call; |
prmulti_pen_ni_name(w,matrix_mn,matrix_vr) |
call with optional name. |
Parameters
is a threshold.
matrix_mn is a PSG matrix of mean values of coefficients of Loss functions:
where the header row contains names of variables. Other rows contain numerical data.
matrix_vr is a PSG matrix of variance values of coefficients of Loss functions:
where the header row contains names of variables. Other rows contain numerical data.
Mathematical Definition
The Probability of Exceedance Multiple Normal Independent is calculated as follows:
where
,
is average of Loss Functions;
is standard Deviation of Loss Functions;
is a 
-th Loss function;
is an argument of function.
Example
Case Studies with Probability of Exceedance Multiple Normal Independent
See also
Probability Group, Probability of Exceedance for Gain Multiple Normal Independent.