functionincrement

Contents

functionincrement subroutine calculates increments of a PSG function (see PSG Function) on some point (see PSG Point).

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•	Description

•	Intput Arguments

•	Output Arguments

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•	Case Studies with functionincrement

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Syntax

[fval] = functionincrement(string, w, H, c, p, a)

Description

[fval] = functionincrement(string, w, H, c, p, a) returns the vector of a function increments calculated on point a.

Intput Arguments

risk	string with description of PSG function;
w	parameter (real) of the PSG function. If parameter is not present, then substitute parameter by square brackets “[]” );
H	matrix for PSG function;
c	vector of benchmark for PSG function. If the benchmark is not used, then substitute it by square brackets “[]”;
p	vector of probabilities for PSG function. If all probabilities are equal, you can substitute p by square brackets “[]”;
a	vector for point, on which the function is calculated.

Output Arguments

fval	functions increments in the given point.

Remarks

functionincrement subroutine does NOT calculate increments of the Linear Multiple function.

Examples

Run the following example from the folder ./Aorda/PSG/MATLAB/Examples/Problems/Example_func_increments_cvar_risk.m or type the next code in MATLAB:

Define data for CVaR function (see cvar_risk):

Matrix:

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

Benchmark vector:

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

Probability vector:

p = [0.2;0.2;0.3;0.3];

Point:

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

Calculate increments of cvar_risk function with parameter 0.65 at point 'a':

[point1] = functionincrement('cvar_risk', 0.65, H, c, p, a);

You get:

point1 =

-4.0000

1.1429

-0.5714

-5.5714

Case Studies with functionincrement

•	Optimal Crop Production and Insurance Coverage

•	Hedging Portfolio of Options

•	Optimization Retail Portfolio of Bonds.