Example: Function call:   max_var_risk_g(0.85, matrix_3, matrix_4). Parameter = 0.85 and

 

matrix_3:

 

 

matrix_4:

 

 

Maximum CVaR Deviation for Gain is calculated at point_1:

 

 

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

 

addpath('..')

%Define data:

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

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

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

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

H2 = [2 -1 1;-3 6 -7;0 11 -3;-2 5 9];

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

c2 = [15;-1;40;7];

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

alpha = 0.85;

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

%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, header_1, c1, p1);

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

toolboxstruc_arr(2) = tbpsg_matrix_pack('matrix_2', H2, header_2, c2, []);

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

toolboxstruc_arr(3) = tbpsg_point_pack('point_1', a, []);

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

toolboxstruc_arr(4) = tbpsg_parameter_pack('parameter_alpha', alpha);

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

val1 = tbpsg_function_value('max_var_risk_g(parameter_alpha,matrix_1,matrix_2)','point_1',toolboxstruc_arr);

%Display function value:

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

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

%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',...

'  max_var_risk_g(parameter_alpha,matrix_1,matrix_2)',...

' ');

%Create Subroutine:

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

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

%{

%Calculation of function with User Subroutine 'calculate_max_var_risk_g':

[solution_str,outargstruc_arr] = calculate_max_var_risk_g(H1,header_1,c1,p1,H2,header_2,c2,a,point_1_vars,alpha);

%Extract function value from the solution report:

val = tbpsg_function_data(solution_str, outargstruc_arr);

%}

 

Program output:

 

tbpsg_function_value = 3.75

 

This function can't be evaluated with PSG Subroutine 'functionvalue' because input matrices include different variables