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

DOI10.1016/J.EJOR.2008.09.026zbMath1176.90439OpenAlexW2105378603MaRDI QIDQ1042067

Abdennebi Omrane, Youssef Rouchdy, Josselin Garnier

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.09.026

zbMATH Keywords

stochastic programmingMonte Carlo methodsapplied probabilityoptimization with constraintsrandom constraints

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (11)

Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution ⋮ Gradient formulae for probability functions depending on a heterogenous family of constraints ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ Advances and applications of chance-constrained approaches to systems optimisation under uncertainty ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets

Uses Software

• AS 195
• QSIMVN

Cites Work

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• Differentiability of probability function
• Numerical Optimization
• Introduction to Stochastic Programming
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function

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