Calculation in Run-File Environment
Contents
Example: cdarmulti_dev(0.65,matrix_4,matrix_51). Parameter = 0.65
matrix_4:
x1 |
x2 |
x4 |
scenario_benchmark |
2 -3 0 -2 |
-1 6 11 5 |
1 -7 -3 9 |
15 -1 40 7 |
The matrix_4 is in file matrix_4.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
matrix_51:
x1 |
x2 |
x3 |
x4 |
scenario_benchmark |
1 7 2 0 |
4 5 8 3 |
8 4 1 4 |
3 6 0 9 |
2 11 6 10 |
The matrix_51 is in file matrix_51.txt in PSG Matrix format (see, PSG Matrix in General (Text) Format).
CVaR Risk is calculated at point_1 (see, PSG Point):
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 cdarmulti_dev at point_1 run problem in file problem_cdarmulti_dev.txt (see, Calculate Problem):
calculate
point: point_1
value:
cdarmulti_dev(0.65,matrix_4,matrix_51)
Value of cdarmulti_dev(0.65,matrix_4,matrix_51) at point_1 equals 24.0714
Files problem_cdarmulti_dev.txt, matrix_4.txt, matrix_51.txt and point_1.txt are in folder .\Aorda\PSG\Examples\Functions\cdarmulti_dev_test.