VoseOptPercentile

See also: VoseOptCVARx, VoseOptCVARp

 

 

Example model
  

This function is used as a Statistic parameter for the cumulative percentile within the ModelRisk optimization requirements functions:

VoseOptRequirementMin(Name, Statistic, Value, Enabled)

VoseOptRequirementMax(Name, Statistic, Value, Enabled)

VoseOptRequirementEquals(Name, Statistic, Value, Enabled)

and the ModelRisk optimization target functions:

VoseOptTargetMaximize(Name, Statistic, Enabled)

VoseOptTargetMinimize(Name, Statistic, Enabled)

VoseOptTargetValue(Name, Statistic, Value, Enabled)

The VoseOptPercentile function allows the user to specify, for example, that the target variable to be optimised has a cumulative percentile (i.e. a quantile), as defined by its probability p, that is to be minimised, maximised or set equal to Value in the above three functions respectively.

Thus, for example,

VoseOptTargetValue(“Cash”, VoseOptPercentile(0.9), 200, TRUE)

will make the Optimizer attempt to find a solution such that the 90th percentile of the distribution of the variable “Cash” will equal 200.

 

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