Derivatives of probability functions and some applications
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Cites work
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- scientific article; zbMATH DE number 4187247 (Why is no real title available?)
- A differentiation formula for integrals overseas given by inclusion
- Augmented infinitesimal perturbation analysis: An alternate explanation
- Sensitivity analysis of discrete event systems by the push out method
- stochastic quasigradient methods and their application to system optimization†
Cited in
(43)- Application of the smooth approximation of the probability function in some applied stochastic programming problems
- Gradients and subgradients of buffered failure probability
- Risk-averse PDE-constrained optimization using the conditional value-at-risk
- 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
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- Rectangular chance constrained geometric optimization
- An inner-outer approximation approach to chance constrained optimization
- A connection between derivates and processes
- Derivatives of probability functions and integrals over sets given by inequalities
- A differentiation formula for integrals overseas given by inclusion
- Smooth Approximation of the Quantile Function Derivatives
- scientific article; zbMATH DE number 799242 (Why is no real title available?)
- Variance properties of sample path derivatives of parametric random variables
- Probability functions generated by set-valued mappings: a study of first order information
- Differentiability of probability function
- 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
- A derivative-free trust-region algorithm with copula-based models for probability maximization problems
- Probability maximization via Minkowski functionals: convex representations and tractable resolution
- (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
- Existence and optimality conditions for risk-averse PDE-constrained optimization
- Sampling derivatives of probabilities
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Derivatives and subderivatives of buffered probability of exceedance
- Probabilistic models and relations for special functions. II
- Estimates of derivatives of random functions. II
- Eventual convexity of probability constraints with elliptical distributions
- (Sub-)differentiability of probability functions with elliptical distributions
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- Marginal Decomposition of Risk Measures
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Estimates of derivatives of random functions. I
- On derivative by parameter of functions represented as integral with changing boundary
- scientific article; zbMATH DE number 524359 (Why is no real title available?)
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Research on partial derivatives of random variables in probability measure space
- On the convexity of level-sets of probability functions
- Generalized differentiation of probability functions acting on an infinite system of constraints
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
- Level bundle methods for constrained convex optimization with various oracles
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