Scaled CVaR Norm (cvar_comp_abs)
Contents
Scaled CVaR Norm. Average of the largest (1-α)% absolute values of components of a vector, where 0≤α≤1, i.e., Scaled CVaR norm of a vector
Syntax
cvar_comp_abs(α, matrix) |
short call; |
cvar_comp_abs_name(α, matrix) |
call with optional name. |
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 Component Absolute function is calculated as follows:
,
where
is CVaR function,
is a loss function with scenarios:
, 
and probabilities 
.
is an argument of Scaled CVaR norm function.
Example
See also