rpsg_create_subroutine: Creates user-defined R-function for solving PSG optimization...
In PSGExpress: Portfolio Safeguard: Optimization, Statistics and Risk Management

Creates user-defined R-function for solving PSG optimization problem.

1	rpsg_create_subroutine(problem.list, description)

problem.list

list with data for optimization problem. List members:

problem.list$problem_statement: character with PSG Problem Statement;
problem.list$matrix_<name>: matrix with names of columns that correspond to names of optimization variables. Name of this list member (matrix_<name>) must coincide with the name of PSG Matrix in Problem Statement. Matrix may include two optional collumns: scenario_benchmark and scenario_probability;
problem.list$pmatrix_<name>: sparse matrix with names of column that correspond to names of optimization variables. Name of this list member (pmatrix_<name>) must coincide with the name of PSG PMatrix in Problem Statement. PMatrix may include two optional collumns: scenario_benchmark and scenario_probability;
problem.list$point_<name>: vector with names of members that correspond to names of optimization variables. Name of this list member (point_<name>) must coincide with the name of PSG Point in Problem Statement;
problem.list$vector_<name>: vector with data. Name of this list member (vector_<name>) must coincide with the name of PSG Vector in Problem Statement.

description

list with additional information about user-defined R-function. Names of list members:

description$path_to_save: character with path to the folder for saving function;
description$function_name: character with the name user-defined R-function;
description$function_description: character with description of functions functionality;

Three files stored in folder typed by user:

`users_f_name.R`	R-file with user-defined R-function;
`users_f_name_data.RData`	RData-file with data for PSG optimization problem;
`users_f_name_example.R`	R-file with example code to run user-defined R-function;