(Sub-)differentiability of probability functions with elliptical distributions
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Cites work
- scientific article; zbMATH DE number 995813 (Why is no real title available?)
- scientific article; zbMATH DE number 3791104 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 3514806 (Why is no real title available?)
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- Differentiability of probability function
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- Implementable algorithm for stochastic optimization using sample average approximations
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Cited in
(22)- A discussion of probability functions and constraints from a variational perspective
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- Large-scale unit commitment under uncertainty: an updated literature survey
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- Consistency property of elliptical probability density functions
- Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
- Pontryagin's principle for some probabilistic control problems
- Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs
- Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Optimization under rare chance constraints
- Solving chance-constrained problems via a smooth sample-based nonlinear approximation
- Convexity and starshapedness of feasible sets in stationary flow networks
- Value at risk approach to producer's best response in an electricity market with uncertain demand
- Subdifferential characterization of probability functions under Gaussian distribution
- Probability maximization via Minkowski functionals: convex representations and tractable resolution
- Generalized gradients for probabilistic/robust (probust) constraints
- Probabilistic constrained optimization on flow networks
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- Generalized differentiation of probability functions acting on an infinite system of constraints
- Control in probability for SDE models of growth population
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