Calculation in Run-File Environment
Contents
Example: Function call: max_cvar_risk(0.85, matrix_3, matrix_4). Parameter = 0.85 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 PSG Matrix format (see, PSG Matrix in General (Text) Format).
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).
Maximum CVaR Risk for Loss 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 max_cvar_risk at point_1 run problem in file problem_max_cvar_risk.txt (see, Calculate Problem):
calculate
point: point_1
value:
max_cvar_risk(0.85,matrix_3,matrix_4)
Value of max_cvar_risk(0.85,matrix_3,matrix_4) at point_1 equals 32
Files problem_max_cvar_risk.txt, matrix_3.txt, matrix_4.txt and point_1.txt are in folder .\Aorda\PSG\Examples\Functions\max_cvar_risk_test.