Gradient and Hessian of joint probability function with applications on chance-constrained programs

DOI10.1007/s40305-017-0154-6zbMath1386.90092OpenAlexW2596038959MaRDI QIDQ1689060

L. Jeff Hong, Guang-Xin Jiang

Publication date: 12 January 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-017-0154-6

zbMATH Keywords

Monte Carlo simulationgradient estimationchance-constrained program

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

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