Example: Function call: cvar_dev_g(0.65,matrix_1). Parameter = 0.65 and matrix_1:

 

 

CVaR Deviation for Gain is calculated at point_1:

 

 

MATLAB code (.\Aorda\PSG\MATLAB\Examples\Functions\Func_value_cvar_dev_g.m) for function calculation:

 

%Define data:

H1 = [1 4 8 3;7 -5 4 -6;-2 8 -1 0;0 -3 -4 9];

c1 = [-2;11;6;10];

p1 = [0.2;0.2;0.3;0.3];

a = [1;1;1;1];

alpha = 0.65;

 

%=======================================================================

%Calculation of function with PSG Subroutine 'functionvalue'

%Calculate cvar_dev_g function with parameter 0.65 at point 'a':

val1 = functionvalue('cvar_dev_g', alpha, H1, c1, p1, a);

%Display function value:

disp(sprintf('functionvalue = %g', val1));

%=======================================================================

%Calculation of function with PSG Subroutine 'tbpsg_function_value'

%Create the PSG matrix 'matrix_1'(structure containing header and matrix body) and pack it to structure 'toolboxstruc_arr':

toolboxstruc_arr(1) = tbpsg_matrix_pack('matrix_1', H1, [],  c1, p1);

%Create the PSG point 'point_1'(structure containing header and matrix body) and pack it to structure 'toolboxstruc_arr':

toolboxstruc_arr(2) = tbpsg_point_pack('point_1', a, []);

%Create the PSG parameter 'parameter_alpha' and pack it to structure 'toolboxstruc_arr':

toolboxstruc_arr(3) = tbpsg_parameter_pack('parameter_alpha', alpha);

%Calculate cvar_dev_g function with parameter 0.65 at point 'point_1':

val2 = tbpsg_function_value('cvar_dev_g(parameter_alpha,matrix_1)','point_1',toolboxstruc_arr);

%Display function value:

disp(sprintf('tbpsg_function_value = %g', val2));

%=======================================================================

%Creation of User Subroutine for calculating function value

%User subroutine is similar to the 'functionvalue'

%Create problem statement:

problem_statement = sprintf('%s\n',...

'calculate',...

'Point: point_1',...

'  cvar_dev_g(parameter_alpha,matrix_1)',...

' ');

%Create Subroutine:

tbpsg_create_user_subroutine(problem_statement,toolboxstruc_arr,'.\','calculate_cvar_dev_g');

%Uncomment section to call the user subroutine 'calculate_cvar_dev_g':

%{

%Calculation of function with User Subroutine 'calculate_cvar_dev_g':

[solution_str,outargstruc_arr] = calculate_cvar_dev_g(H1,matrix_1_vars,c1,p1,a,point_1_vars,alpha);

%Extract function value from the solution report:

val = tbpsg_function_data(solution_str, outargstruc_arr);

%}

 

Program output:

 

functionvalue = 11.1571

tbpsg_function_value = 11.1571