RiskConstrProg in Toolbox
Contents
riskconstrprog subroutine solves risk minimization problems with constraint on a risk function and linear constraints.
To open RiskConstrProg Window go to Menu of the Main Toolbox Window-> Subroutines->RiskConstrProg.
Mathematical Problem Statement
Finds a minimum for a problem specified by
subject to
where
A, Aeq are matrices;
d, x are column vectors;
b, beq, lb, ub are column vectors or scalars;
risk1, risk2 are linear combinations of PSG risk functions, PSG deterministic functions, or a PSG utility functions (see List of PSG functions for riskconstrprog).
Main buttons:
| 1. | Solve. Start the optimization process. |
| 2. | Verify. Check correctness of the optimization problem. |
| 3. | Export to Toolbox. Convert and save the optimization problem to Main Toolbox Window. |
| 4. | Export to MATLAB. Output the MATLAB code for running optimization problem using subroutine riskconstrprog. |
Solution of the optimization problem is stored in "Menu -> Solution" and includes:
| 1. | Report. Text screen with solution of the problem. |
| 2. | Optimal_point. Point Window with optimal point. |
| 3. | Errors. Text screen with errors report that emerged during problem optimization. |
| 4. | Log. Text screen with solving process report. |
For more details see PSG Solution in MATLAB.