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