Gradients and Subgradients of Buffered Failure Probability

DOI10.1016/J.ORL.2021.10.004MaRDI QIDQ6377432arXivFDO

Authors Johannes O. Royset, Ji-Eun Byun

Publication date 11 September 2021

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.ORL.2021.10.004

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Probability distributions: general theory (60E05) Stochastic programming (90C15)

arXiv classification

cs.LGmath.OC

Abstract: Gradients and subgradients are central to optimization and sensitivity analysis of buffered failure probabilities. We furnish a characterization of subgradients based on subdifferential calculus in the case of finite probability distributions and, under additional assumptions, also a gradient expression for general distributions. Several examples illustrate the application of the results, especially in the context of optimality conditions.

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