(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution (Q5269854): Difference between revisions

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scientific article; zbMATH DE number 6736495

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English	(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution	scientific article; zbMATH DE number 6736495

Statements

instance of

scholarly article

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title

(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution (English)

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SIAM/ASA Journal on Uncertainty Quantification

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publication date

28 June 2017

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zbMATH Keywords

stochastic optimization

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gradients of probability functions

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spheric-radial decomposition

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multi-variate Gaussian distribution

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Clarke subdifferential

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Mordukhovich subdifferential

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probabilistic constraint

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MaRDI profile type

MaRDI publication profile

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cites work

Q3968042

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QMC designs: Optimal order Quasi Monte Carlo integration schemes on the sphere

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Q3996569

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Computing probabilites of rectangles in case of multinormal distribution

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Subroutines for computing normal probabilities of sets -- computer experiences

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Lectures on Stochastic Programming

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Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations

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Computation of multivariate normal and \(t\) probabilities

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Q4046802

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Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems

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A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution

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Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions

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Differentiability of probability function

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Generic Differentiability of Lipschitzian Functions

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Differentiation of probability functions: The transformation method

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Projecting the surface measure of the sphere of \({\ell}_p^n\)

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Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design

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Implementable algorithm for stochastic optimization using sample average approximations

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Extensions of stochastic optimization results to problems with system failure probability functions

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Derivatives of probability functions and integrals over sets given by inequalities

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Derivatives of probability functions and some applications

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Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions

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On joint probabilistic constraints with Gaussian coefficient matrix

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Second-order differentiability of probability functions

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A characterization of the subdifferential of singular Gaussian distribution functions

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Identifiers

zbMATH Open document ID

1434.90111

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DOI

10.1137/16M1061308

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5269854

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@@ Property / cites work @@
+QMC designs: Optimal order Quasi Monte Carlo integration schemes on the sphere
+Normal rank
@@ Property / cites work @@
+Q3996569
@@ Property / cites work: Q3996569 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing probabilites of rectangles in case of multinormal distribution
+Normal rank
@@ Property / cites work @@
+Subroutines for computing normal probabilities of sets -- computer experiences
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
+Normal rank
@@ Property / cites work @@
+Computation of multivariate normal and \(t\) probabilities
+Normal rank
@@ Property / cites work @@
+Q4046802
@@ Property / cites work: Q4046802 / rank @@
+Normal rank
@@ Property / cites work @@
+Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
+Normal rank
@@ Property / cites work @@
+A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
+Normal rank
@@ Property / cites work @@
+Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
+Normal rank
@@ Property / cites work @@
+Differentiability of probability function
@@ Property / cites work: Differentiability of probability function / rank @@
+Normal rank
@@ Property / cites work @@
+Generic Differentiability of Lipschitzian Functions
+Normal rank
@@ Property / cites work @@
+Differentiation of probability functions: The transformation method
+Normal rank
@@ Property / cites work @@
+Projecting the surface measure of the sphere of \({\ell}_p^n\)
+Normal rank
@@ Property / cites work @@
+Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
+Normal rank
@@ Property / cites work @@
+Q3126752
@@ Property / cites work: Q3126752 / rank @@
+Normal rank
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+Variational Analysis
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@@ Property / cites work @@
+Implementable algorithm for stochastic optimization using sample average approximations
+Normal rank
@@ Property / cites work @@
+Extensions of stochastic optimization results to problems with system failure probability functions
+Normal rank
@@ Property / cites work @@
+Derivatives of probability functions and integrals over sets given by inequalities
+Normal rank
@@ Property / cites work @@
+Derivatives of probability functions and some applications
+Normal rank
@@ Property / cites work @@
+Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
+Normal rank
@@ Property / cites work @@
+On joint probabilistic constraints with Gaussian coefficient matrix
+Normal rank
@@ Property / cites work @@
+Second-order differentiability of probability functions
+Normal rank
@@ Property / cites work @@
+A characterization of the subdifferential of singular Gaussian distribution functions
+Normal rank