PWLCompressor is an R implementation of a piecewise linear approximation for empirical sample distributions preserving tail value-at-risk measure.
For details see Arbenz, P. and Guevara-Alarcon. W. (2016), Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions
To install the latest development version:
install.packages("devtools")
devtools::install_github("WilliamGuevaraAlarcon/PWLCompressor")