Probability of Exceedance for Gain Multiple Normal Independent (prmulti_pen_ni_g)
Contents
Probability of Exceedance for Gain Multiple Normal Independent. There are M Linear Loss functions with independent normally distributed random coefficients.
Probability of Exceedance for Gain Multiple Normal Independent = 1-(Probability that all M Linear Gain functions are below the threshold).
Syntax
prmulti_pen_ni_g(w, matrix_mn,matrix_vr) |
short call; |
prmulti_pen_ni_g_name(w, matrix_mn,matrix_vr) |
call with optional name. |
Parameters
is a threshold.
matrix_mn is a PSG matrix of mean values of coefficients of Loss function:
where the header row contains names of variables. Other rows contain numerical data.
matrix_vr is a PSG matrix of variance values of coefficients of Loss function:
where the header row contains names of variables. Other rows contain numerical data.
Mathematical Definition
The Probability of Exceedance for Gain Multiple Normal Independent is calculated as follows:
where
,
is average of Gain Functions;
is standard Deviation of Gain FunctionS;
is a 
-th Gain function;
is an argument of function.
Example
See also
Probability Group, Probability of Exceedance Multiple Normal Independent.