Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems (Q1940951)
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scientific article; zbMATH DE number 6143087
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| English | Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems |
scientific article; zbMATH DE number 6143087 |
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Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems (English)
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11 March 2013
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Lower estimates for the norm of gradients of Gaussian distribution functions are obtained and applied to the analysis of a special class of probabilistically constrained optimization problems. A sensitivity result for optimal values with respect to perturbations of the underlying random vector is derived.
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probabilistic constraints
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chance constraints
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stochastic optimization
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Gaussian distribution function
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sensitivity of optimal values
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0.852510929107666
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0.8112727999687195
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0.8073030114173889
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0.7694813013076782
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