Subdifferential characterization of probability functions under Gaussian distribution
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Publication:1739033
DOI10.1007/s10107-018-1237-9zbMath1421.90098arXiv1705.10160OpenAlexW2751459826MaRDI QIDQ1739033
Abderrahim Hantoute, René Henrion, Pedro Pérez-Aros
Publication date: 24 April 2019
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.10160
stochastic optimizationClarke subdifferentialMordukhovich subdifferentialprobabilistic constraintspheric-radial decompositionprobability functionsmultivariate Gaussian distribution
Nonlinear programming (90C30) Nonsmooth analysis (49J52) Stochastic programming (90C15) Set-valued and variational analysis (49J53)
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