Special PSG MATLAB Subroutines
Contents
This section includes the description of Special Subroutines for quick and easy solving optimization problems with PSG in MATLAB.
The list of MATLAB subroutines with their functionality:
Minimizing risk function with linear constraints on variables.
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Solving optimization problem described in the section "riskprog" for several values of a parameter.
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Maximizing the difference of a linear function and a risk function with a constraint on a risk function and linear constraints.
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Solving optimization problem described in the section "riskconstrprog" for several values of a parameter.
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Maximizing ratio of risk functions with linear constraints.
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Evaluating a PSG function on some point.
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Calculating increments of a PSG function on some point.
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Calculating sensitivities of a PSG function on some point. |
If you need to solve optimization problems including a single or linear combination of risk-functions (e.g., CVaR, VaR, Drawdown) with no or only one constraint, you may use subroutines riskprog and riskconstrprog. Subroutine riskratioprog optimizes function rations, e.g., ratio of a linear function and CVaR deviation (Sharpe-like ratio with CVaR deviation in denominator instead of standard deviation).
Subroutines functionvalue, functionincrement, and functionsensitivity calculate values, increments and sensitivities of PSG functions (e.g., Standard Deviation).