Differentiation formulas for probability functions: The transformation method
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Publication:1363426
DOI10.1007/BF02592152zbMATH Open0905.90128OpenAlexW1982045540MaRDI QIDQ1363426FDOQ1363426
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
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Cited In (10)
- Differentiation of probability functions: The transformation method
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- A discussion of probability functions and constraints from a variational perspective
- Analytic approximation and differentiability of joint chance constraints
- An inner-outer approximation approach to chance constrained optimization
- Extensions of stochastic optimization results to problems with system failure probability functions
- Decomposition methods in stochastic programming
- Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- A characterization of the subdifferential of singular Gaussian distribution functions
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