Buffered Probability of Exceedance: Mathematical Properties and Optimization
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Recommendations
- Estimation and asymptotics for buffered probability of exceedance
- Application of buffered probability of exceedance in reliability optimization problems
- Minimizing buffered probability of exceedance by progressive hedging
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Derivatives and subderivatives of buffered probability of exceedance
- Optimal asymptotic estimation of small exceedance probabilities
- A continuous buffer allocation model using stochastic processes
- Buffer overflow probabilities for a Markov-modulated fluid model
Cites work
- scientific article; zbMATH DE number 3465097 (Why is no real title available?)
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 2138160 (Why is no real title available?)
- CVaR distance between univariate probability distributions and approximation problems
- Cardinality of upper average and its application to network optimization
- Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
- Convex Approximations of Chance Constrained Programs
- Convex measures of risk and trading constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- Inequalities: theory of majorization and its applications
- Interior proximal methods for quasiconvex optimization
- Maximization of AUC and buffered AUC in binary classification
- Optimization with Stochastic Dominance Constraints
- Orbits of L 1 -Functions Under Doubly Stochastic Transformation
- Random variables, monotone relations, and convex analysis
- Soft margin support vector classification as buffered probability minimization
- Statistical decision problems. Selected concepts and portfolio safeguard case studies
- Stochastic finance. An introduction in discrete time.
- Trade-off analysis approach for interactive nonlinear multiobjective optimization
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
Cited in
(33)- Reliability optimization in plant production
- Reliability optimization method alternative to bPOE
- Higher-moment buffered probability
- Optimization problems governed by systems of PDEs with uncertainties
- Application of buffered probability of exceedance in reliability optimization problems
- Monotone Sharpe ratios and related measures of investment performance
- Soft margin support vector classification as buffered probability minimization
- Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
- Estimation and asymptotics for buffered probability of exceedance
- A proximal-type method for nonsmooth and nonconvex constrained minimization problems
- Shortest path network problems with stochastic arc weights
- Risk-adaptive approaches to stochastic optimization: a survey
- Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation
- Convexification of fractional distributionally robust probability maximization problems under phi-divergence ambiguity
- Maximization of AUC and buffered AUC in binary classification
- Buffered and reduced multidimensional distribution functions and their application in optimization
- Probability-of-failure-based optimization for random PDEs through concentration-of-measure inequalities
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Distributionally robust fractional optimization of probability of exceedance
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- Gradients and subgradients of buffered failure probability
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Derivatives and subderivatives of buffered probability of exceedance
- On maximization of the expectation-to-deviation ratio of a random variable
- Error control and Neyman-Pearson classification with buffered probability and support vectors
- Buffered-ranking intervals for virtual profit efficiency analysis
- Cardinality of upper average and its application to network optimization
- A new method of reliability optimization in the classical problem statement
- Minimizing buffered probability of exceedance by progressive hedging
- Developing a model for a modulating mirror fixed on active supports: stochastic model
- Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
- PELVE: probability equivalent level of VaR and ES
- Performance Bounds for PDE-Constrained Optimization under Uncertainty
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