first order loss function - normal distribution

[nico.te...@gmail.com]

Hi,

I'm trying to implement the first order loss function which is:

GX(y) = ( ∅(v) - v * (1 - Φ(v))) *  σ              

∅(v) = density function for the standardized normal Distribution

Φ(v) = cumulated Distribution function

v = ( y - μ ) / σ  = standardized value of y

I solved it with Excel but I need to implement this in AMPL. For better understanding I attach the Excel-File as well.

Any idea how to solve this?

I think with the Normal01() function it's not possibile to solve this, is it?

Thanks a lot in advance!!

[Robert Fourer]

The normal density and distribution functions are available in the AMPL Extended Function Library. To download the library and access these functions in your AMPL model, see the instructions at http://ampl.com/resources/extended-function-library/.

Bob Fourer
am...@googlegroups.com

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