univariate_shocks: Calculates 2d d-dimensional univariate shocks (up and down in...

In SyScSelection: Systematic Scenario Selection for Stress Testing

Description

Calculates 2d d-dimensional univariate shocks (up and down in each of the d dimensions) based on the given ellipsoid. Univariate shocks are points on the surface of the ellipsoid that differ from the center of the ellipsoid in only one dimension. Thus, for an ellipsoid centered at the origin, only one element of a d-dimensional shock will be non-zero.This function does not assume that the ellipsoid is centered at the origin.

Usage

univariate_shocks(hellip)

Arguments

hellip

the basis for the shocks; it must have measurable width in every dimension

Value

A d x 2d array, [dx2d], with each column a shock; the first d columns are positive univariate shocks, and final d columns are matching negative univariate shocks

Examples

hellip <- hyperellipsoid()
univariate_shocks(hellip)

SyScSelection documentation built on Oct. 26, 2020, 5:08 p.m.