Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations

DOI10.1016/j.ejor.2008.09.026zbMath1176.90439MaRDI QIDQ1042067

Abdennebi Omrane, Josselin Garnier, Youssef Rouchdy

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.09.026

zbMATH Keywords

stochastic programming; Monte Carlo methods; applied probability; optimization with constraints; random constraints

Mathematics Subject Classification ID

90C15: Stochastic programming

Uses Software

• AS 195
• QSIMVN

Cites Work

• Convexity of chance constraints with independent random variables
• Enlarging the region of convergence of Newton's method for constrained optimization
• Probability Bounds with Cherry Trees
• Sharp Bounds on Probabilities Using Linear Programming
• Computing probabilites of rectangles in case of multinormal distribution
• Differentiability of probability function
• Numerical Optimization
• Introduction to Stochastic Programming
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function
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