functionvalue

Contents

functionvalue subroutine evaluates 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 functionvalue

•

Syntax

[fval] = functionvalue(risk, w, H, c, p, a)

Description

[fval] = functionvalue(risk, w, H, c, p, a) returns:

•	function value calculated on the point a, if the function is not a Linear Multiple function;

•	values of linear functions calculated on the point a, for Linear Multiple function.

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	function value in the given point.

Examples

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

Define data:

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

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

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

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

Calculate cvar_risk function with parameter 0.65 at point a:

[val1] = functionvalue('cvar_risk', 0.65, H, c, p, a);

You get the following result:

val1 =

9.7143

Case Studies with functionvalue

•	Optimal Crop Production and Insurance Coverage

•	Optimization Retail Portfolio of Bonds.