(Sub-)differentiability of probability functions with elliptical distributions (Q1711093): Difference between revisions

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-Wim van Ackooij
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+Wim van Ackooij
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+Miguel Munoz Zuniga
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+GloptiPoly
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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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+Subdifferential characterization of probability functions under Gaussian distribution
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+GloptiPoly 3: moments, optimization and semidefinite programming
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+Optimization of a continuous distillation process under random inflow rate.
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+A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
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+Differentiability of probability function
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+On mixing sets arising in chance-constrained programming
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+A Sample Approximation Approach for Optimization with Probabilistic Constraints
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+Differentiation of probability functions: The transformation method
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+Variational Analysis and Generalized Differentiation I
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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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+(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution
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+On joint probabilistic constraints with Gaussian coefficient matrix
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+Joint chance constrained programming for hydro reservoir management
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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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+On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
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+Publication:1711093