CVaR Component Positive (cvar_comp_pos)
Contents
CVaR Component Positive. Average of the largest (1-α)% of scaled components of a vector, where 0≤α≤1
Syntax
cvar_comp_pos(α, matrix) |
short call; |
cvar_comp_pos_name(α, matrix) |
call with optional name. |
Parameters
matrix is a PSG matrix:
where the header row contains names of variables. The second row contains numerical data.
is a confidence level.
Mathematical Definition
CVaR Component Positive equals:
,
where,
values 
are arranged in ascending order: 
;
is a confidence level;
an index such that 
and 
;
;
is an argument of CVaR Component Positive function.
Example
Case Studies with CVaR Component Positive
See also
Polynomial Absolute, Relative Entropy, CVaR Component Negative, CVaR Component Absolute, VaR Component Positive, VaR Component Negative, Maximum Component Positive, Maximum Component Negative, Maximum Component Absolute, Quadratic Function, Squareroot Quadratic, Logarithms Sum