Description Usage Arguments Value Author(s) References See Also Examples
View source: R/rpsg_getfunctionvalue.R
Evaluates a PSG function on some point.
1 2 3 | rpsg_getfunctionvalue(function_description, point_argument,
rho = parent.frame(), allowExt = TRUE, rpsg_suppress.Messages = FALSE,
allowFunVal = TRUE)
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function_description |
character with PSG function description: "risk_function(<parameter>,matrix_<name>)". This input depends on type of PSG function (parameter is present or absent, one, two or more matrices, ect.). matrix_<name> should be created as variable before calling function rpsg_getfunctionvalue. |
point_argument |
vector with names of members that correspond to names of optimization variables. |
rho |
optional parameter for setting frame. Default is rho = parent.frame(). |
allowExt |
optional parameter to specify if a solver can use variables from data frame defined in rho (by the default allowExt = TRUE) or not (allowExt = FALSE). |
rpsg_suppress.Messages |
optional parameter specifying if messages, that may appear when you run this function, should be suppressed (rpsg_suppress.Messages = TRUE) or not (by the default: rpsg_suppress.Messages = FALSE). |
allowFunVal |
optional parameter specifying if output.list will include value of the PSG function on the given point (by the default allowFunVal = TRUE) or not (allowFunVal = FALSE) |
output.value
numeric value of PSG function in the given point.
Stan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut]
Maintainer: Stan Uryasev <stan.uryasev@aorda.com>
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rpsg_getfunctionsensetivity
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | #Create Matrix
matrix_scenarios <- matrix(c(1,4,8,3, 7,-5,4,-6, -2,8,-1,0,0,-3,-4,9),nrow=4, byrow=TRUE)
colnames(matrix_scenarios) <- colnames(matrix_scenarios,do.NULL = FALSE, prefix = "x")
scenario_benchmark <- c(-2, 11, 6, 10)
scenario_probability <- c(0.2, 0.2, 0.3, 0.3)
matrix_scenarios <- cbind(matrix_scenarios,scenario_benchmark,scenario_probability)
#Create Point
point_a <- c(1,1,1,1)
names(point_a) <-c("x1","x2","x3","x4")
# Calculate cvar(0.95,matrix_scenarios) at point_a:
val1<- rpsg_getfunctionvalue("cvar_risk(0.65,matrix_scenarios)",point_a)
print(val1)
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