Example: Function call: cvar_risk_ni(0.85,matrix_1,matrix_2).Parameter = 0.85 and

 

matrix_1:

 

 

matrix_2:

 

 

CVaR Risk for Loss Normal Independent is calculated at point_1:

 

 

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

 

%Calculation of functions with PSG Subroutine 'functionvalue'

%Define data:

H1 = [1 4 8 3];

header_1 = {'x1', 'x2', 'x3', 'x4'};

c1 = -2;

H2 = [11 3 2 0];

header_2 = {'x1', 'x2', 'x3', 'x4'};

c2 = 9;

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

%Calculate cvar_risk_ni function with parameter 0.85 at point 'a':

val1 = functionvalue('cvar_risk_ni', 0.85, {H1 ,H2}, {c1 ,c2}, {[] ,[]}, a);

%Display function value:

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

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

%Calculation of functions with PSG Subroutine 'mpsg_function_value'

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

iargstruc_arr(1) = matrix_pack('matrix_1', H1, [],  c1, []);

%Create the PSG matrix 'matrix_2'(structure containing header and matrix body) and pack it to structure 'iargstruc_arr':

iargstruc_arr(2) = matrix_pack('matrix_2', H2, [],  c2, []);

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

iargstruc_arr(3) = point_pack('point_1', a, []);

%Calculate cvar_risk_ni function with parameter 0.85 at point 'point_1':

val2 = mpsg_function_value('cvar_risk_ni(0.85,matrix_1,matrix_2)','point_1',iargstruc_arr);

%Display function value:

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

 

 

Program output:

 

functionvalue = -10.228

mpsg_function_value = -10.228