Derivatives of probability functions and some applications
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Publication:1896458
DOI10.1007/BF02031712zbMath0824.60015MaRDI QIDQ1896458
Publication date: 27 August 1995
Published in: Annals of Operations Research (Search for Journal in Brave)
optimizationinequalitiessensitivity analysisdiscrete event dynamic systemsprobabilistic risk analysis
Related Items (29)
Smooth Approximation of the Quantile Function Derivatives ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ A hybrid stock trading system using genetic network programming and mean conditional value-at-risk ⋮ Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Gradients and subgradients of buffered failure probability ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ Probability maximization via Minkowski functionals: convex representations and tractable resolution ⋮ Level bundle methods for constrained convex optimization with various oracles ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Probability functions generated by set-valued mappings: a study of first order information ⋮ Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ A characterization of the subdifferential of singular Gaussian distribution functions ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Extensions of stochastic optimization results to problems with system failure probability functions ⋮ Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk ⋮ On probabilistic constraints induced by rectangular sets and multivariate normal distributions ⋮ Analytic approximation and differentiability of joint chance constraints ⋮ Marginal Decomposition of Risk Measures ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ A derivative-free trust-region algorithm with copula-based models for probability maximization problems ⋮ Rectangular chance constrained geometric optimization ⋮ Differentiability of probability function ⋮ Advances and applications of chance-constrained approaches to systems optimisation under uncertainty ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
Cites Work
- 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†
- A differentiation formula for integrals overseas given by inclusion
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