(Sub-)differentiability of probability functions with elliptical distributions

DOI10.1007/s11228-017-0454-3zbMath1416.90028OpenAlexW2763608097MaRDI QIDQ1711093

I. Aleksovska, Wim van Ackooij, Miguel Munoz Zuniga

Publication date: 16 January 2019

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-017-0454-3

zbMATH Keywords

stochastic optimisationchance constraintsprobabilistic constraintsgradients of probability functions

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15)

Related Items (17)

A discussion of probability functions and constraints from a variational perspective ⋮ Probabilistic constrained optimization on flow networks ⋮ Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs ⋮ Gradient formulae for probability functions depending on a heterogenous family of constraints ⋮ Optimization under Rare Chance Constraints ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Probability maximization via Minkowski functionals: convex representations and tractable resolution ⋮ Value at risk approach to producer's best response in an electricity market with uncertain demand ⋮ Convexity and starshapedness of feasible sets in stationary flow networks ⋮ Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation ⋮ Generalized gradients for probabilistic/robust (probust) constraints ⋮ Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ Control in probability for SDE models of growth population ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets

Uses Software

• GloptiPoly
• Ipopt

Cites Work

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