Calculation in Run-File Environment
Contents
Example: Function call: cvar_risk_nd(0.8,matrix_7,matrix_11_s)
.Parameter = 0.8 and
matrix_7:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
1 |
4 |
8 |
3 |
-2 |
The matrix_7 is in file matrix_7.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
matrix_11_s:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
8.93784 -0.25271 -1.27649 -0.77983 -0.3662 |
-0.25271 9.64713 -1.60709 -0.15443 3.7164 |
-1.27649 -1.60709 4.91926 -2.73949 -0.4274 |
-0.77983 -0.15443 -2.73949 7.44517 -0.39033 |
-0.3662 3.7164 -0.4274 -0.39033 9.26 |
The matrix_11_s is in file matrix_11_s.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
CVaR Risk for Loss Normal Dependent is calculated at point_1:
component_name |
value |
x1 x2 x3 x4 |
1 1 1 1 |
The point point_1 is in file point_1.txt (see PSG Point).
To calculate cvar_risk_nd at point_1 run problem in file problem_cvar_risk_nd_test.txt (see, Calculate Problem):
calculate
Point: point_1
Value:
cvar_risk_nd(0.8,matrix_7,matrix_11_s)
Value of cvar_risk_nd(0.8,matrix_7,matrix_11_s) at point_1 equals -11.5057
Files problem_cvar_risk_nd.txt, matrix_7.txt, matrix_11_s.txt and point_1.txt are in folder .\Aorda\PSG\Examples\Functions\cvar_risk_nd_test.