Lp Norm Stochastic (lp_stoch_err)
Contents
Lp Norm Stochastic. Lp norm for Linear Loss scenarios function.
Syntax
lp_norm_stochastic(p,matrix) |
short call |
lp_norm_stochastic_name(p,matrix) |
call with optional name |
Parameters
 | is a parameter. |
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Output
When function Lp Norm Stochastic is used in optimization or calculation problems PSG automatically calculates and includes in the solution report two outputs:
pseudo_R2_function_name |
|
contributions(function_name) |
Mathematical Definition
Lp Norm Stochastic function is calculated as follows
,
where:
random vector 
has components 
and J vector scenarios, 
,
random value 
, which is the i-th component of the random vector, 
, has J discrete scenarios 
,
is probability of the scenario 
.
is Loss Function (See section Loss and Gain Functions)
is an argument of Lp Norm Stochastic function.
Example
See also
Mean Absolute Error, Mean Square Error, Root Mean Squared Error, Koenker and Basset Error, Rockafellar Error