Calculation in Run-File Environment
Contents
Example: Function call: cvar_risk(0.65,matrix_3). Parameter = 0.65 and matrix_3:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
scenario_probability |
1 7 -2 0 |
4 -5 8 -3 |
8 4 -1 -4 |
3 -6 0 9 |
-2 11 6 10 |
0.2 0.2 0.3 0.3 |
The matrix_3 is in file matrix_3.txt in Matrix of Scenarios format (see, PSG Matrix in General (Text) Format).
CVaR 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 at point_1 run problem in file problem_cvar_risk_test.txt (see, Calculate Problem):
calculate
Point: point_1
Value:
cvar_risk(0.65,matrix_3)
Value of cvar_risk(0.65,matrix_3) at point_1 equals 9.714286 .
Files problem_cvar_risk.txt, matrix_3.txt, and point_1.txt are in folder .\Aorda\PSG\Examples\Functions\cvar_risk_test.