CVaR for Discrete Distribution as Function of Atom Probabilities. This function is similar to the standard CVaR function, but decision variables are probabilities of scenarios.

 

Syntax

 
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 for Discrete Distribution as Function of Atom Probabilities function is calculated as follows:

with condition on point :

is an argument of CVaR for Discrete Distribution as Function of Atom Probabilities.

 

Remarks

pCVaR function is calculated similar to CVaR function on scenarios with values and probabilities .

 

Example

 

See also

CVaR,

CVaR Normal Independent, CVaR Normal Dependent,

CVaR Deviation, CVaR Deviation Normal Independent, CVaR Deviation Normal Dependent,

CVaR for Mixture of Normal Independent, CVaR Deviation for Mixture of Normal Independent

CVaR Max, CVaR Max Deviation,

CVaR for Mixture of Normal Distributions as Function of Mixture Weights