Differentiation formulas for probability functions: The transformation method

DOI10.1007/BF02592152MaRDI QIDQ1363426zbMATHOpenAlexFDO

Authors Kurt Marti

Publication date 7 August 1997

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02592152

zbMATH Keywords

transformation techniquestructural reliabilityprobabilistic programmingdifferentiation of integralsstochastic completion method

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimization problems in solid mechanics (74P99)

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• A differentiation formula for integrals overseas given by inclusion
• Asymptotic approximations for multivariate integrals with an application to multinormal probabilities
• Bonferroni inequalities
• Evaluation of a special multivariate gamma distribution function
• Sensitivity analysis of discrete event systems by the push out method

Cited in

(10)

• Application of the smooth approximation of the probability function in some applied stochastic programming problems
• Analytic approximation and differentiability of joint chance constraints
• A characterization of the subdifferential of singular Gaussian distribution functions
• A discussion of probability functions and constraints from a variational perspective
• An inner-outer approximation approach to chance constrained optimization
• Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
• Differentiation of probability functions: The transformation method
• Extensions of stochastic optimization results to problems with system failure probability functions
• Decomposition methods in stochastic programming
• Gradient formulae for probability functions depending on a heterogenous family of constraints

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