Chance-Constraint Quantile

Problem

Evaluate the empirical quantile used by a chance constraint.

Sort the sampled values and return the element at index ceil((1 - alpha) * n) - 1, clamped into range. This is the value that the constraint must not exceed with probability 1 - alpha.

Hint

The empirical (1 - alpha) quantile covers all but the worst alpha fraction.

Test cases

case 1

in: [[1,2,3,4,5],0.2]

expected: 4

case 2

in: [[1,2,3,4,5],0.5]

expected: 3

case 3

in: [[1,2,3,4,5],0]

expected: 5

case 4

in: [[1,2,3,4,5],0.9]

expected: 1

Starter codePython

def chance_constraint_quantile(values, alpha):
    # Your code here
    pass

4 test cases · run your code against them in the editor