Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design

DOI10.1137/S1052623403431639MaRDI QIDQ5317527zbMATH OpenOpenAlexWikidataFDO

Authors Heinz Weisshaupt, Georg Ch. Pflug

Publication date 16 September 2005

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s1052623403431639

zbMATH Keywords

derivative estimationMonte Carlo simulationsensitivity analysisset-valued optimization

Mathematics Subject Classification ID

Abstract differentiation theory, differentiation of set functions (28A15) Set-valued and variational analysis (49J53) (n)-dimensional polytopes (52B11) Monte Carlo methods (65C05) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(19)

• (Sub-)differentiability of probability functions with elliptical distributions
• Subdifferential characterization of probability functions under Gaussian distribution
• Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• Derivatives of probability functions: unions of polyhedra and elliptical distributions
• A gradient formula for linear chance constraints under Gaussian distribution
• Importance sampling for option Greeks with discontinuous payoffs
• Derivatives of Markov Kernels and Their Jordan Decomposition
• Gradient-based simulation optimization under probability constraints
• scientific article; zbMATH DE number 912592 (Why is no real title available?)
• Application of the smooth approximation of the probability function in some applied stochastic programming problems
• Generalized differentiation of probability functions acting on an infinite system of constraints
• (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
• Smooth Approximation of the Quantile Function Derivatives
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• Small perturbations of polytopes
• An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
• Approximating inequality systems within probability functions: studying implications for problems and consistency of first-order information
• Probability functions, differentiability, arbitrary laws and mixtures of ellipticals

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