cvar_regression
- pyapprox.optimization.cvar_regression(basis_matrix, values, alpha, verbosity=1)[source]
Solve conditional value at risk (CVaR) regression problems.
- Parameters:
- basis_matrixnp.ndarray (nsamples, nbasis)
A basis evaluated at the set of training samples
- valuesnp.ndarray (nsamples, 1)
The function values at the set of training samples
- alphafloat
The quantile in [0, 1) defining CVaR
- verbosityinteger
The verbosity level