Example: Function call: pcvar(0.85,matrix_mn). Parameter = 0.85 and matrix_mn:

 

 

 

The matrix_mn is in file matrix_mn.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).

CVaR for Discrete Distribution as Function of Atom Probabilities is calculated at point_mn:

 

 

The point point_mn is in file point_mn.txt (see, PSG Point).

 

To calculate pcvar at point_mn run problem in file problem_pcvar.txt (see, Calculate Problem):

 

 calculate

Ppoint: point_mn

Value:

 pcvar(0.85, matrix_mn)

 

Value of pcvar(0.85, matrix_mn) at point_mn equals 19.8333

Files problem_pcvar.txt, matrix_mn.txt and point_mn.txt are in folder .\Aorda\PSG\Examples\Functions\pcvar_test.