rpsg_create_subroutine: Creates user-defined R-function for solving PSG optimization...

Description Usage Arguments Value Author(s) References

View source: R/rpsg_create_subroutine.R

Description

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

Usage

1
rpsg_create_subroutine(problem.list, description)

Arguments

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;

Value

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;

Author(s)

Stan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut]

Maintainer: Stan Uryasev <[email protected]>

References

American Optimal Decisions
Portfolio Safeguard Help


PSGExpress documentation built on March 25, 2019, 5:06 p.m.