Ignore:
Timestamp:
Mar 12, 2010 10:03:02 AM (11 years ago)
Author:
jwatson
Message:

Added option to EF writer to generate a CVaR-only cost, e.g., with no expected cost term (as opposed to the usual weighted variant). Not strictly required, as you can always inflate the weight on CVaR. The mod makes the output a bit easier to digest.

File:
1 edited

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  • coopr.pysp/trunk/coopr/pysp/ef_writer_script.py

    r2438 r2439  
    5353                     default=False)
    5454   parser.add_option("--cvar-weight",
    55                      help="The weight associated with the CVaR term in the risk-weighted objective formulation. Default is 1.0.",
     55                     help="The weight associated with the CVaR term in the risk-weighted objective formulation. Default is 1.0. If the weight is 0, then *only* a non-weighted CVaR cost will appear in the EF objective - the expected cost component will be dropped.",
    5656                     action="store",
    5757                     dest="cvar_weight",
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