Main Objects of PSG

Portfolio Safeguard (PSG) is developed  for solving a wide range of optimization, statistics, and risk management problems. PSG operates in four environments: Run-File, MATLAB, Shell, and C++ .

 

The following PSG objects are used for solving problems:

 

•Data
•Function
•Problem

 

Data

PSG operates with four main types of data:

 

•PSG Matrix
•PSG Point
•PSG Vector
•PSG Parameter

 

Function

There are three classes of functions in PSG

•Scenario Function
•Deterministic
•Risk Functions

 

Problem

Optimization Problem is an object relating vector of decision variables (PSG Point), data in the form of one or several PSG Matrices and Functions to find an optimal solution. (i.e., to find the best decision vector in a feasible set). Feasible decision vectors is a vector that satisfies some restrictions (Constraints). The quality of a feasible decision vector is measured by some criteria called an objective function (Objective) . An optimization problem is a minimization or a maximization problem. The minimization (maximization) problem minimizes (maximizes) an objective function. An optimal decision vector is a feasible vector for which the objective function attains maximum (or minimum) depending upon the type of the optimization problem.

 

 

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