Derivatives of probability functions and some applications

DOI10.1007/BF02031712zbMATH Open0824.60015MaRDI QIDQ1896458FDOQ1896458

Authors: Stanislav P. Uryasev 

Publication date: 27 August 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

Recommendations

• Publication:4885512
• Derivatives of probability functions and integrals over sets given by inequalities
• Estimates of derivatives of random functions. I
• On the differentiability of a probability function
• Estimates of derivatives of random functions. II
• Mean derivatives of stochastic processes and their applications
• Applications of special functions in probability distributions
• scientific article; zbMATH DE number 863562
• Functional equations stemming from probability theory
• Differentiability of probability function

zbMATH Keywords

optimizationsensitivity analysisinequalitiesdiscrete event dynamic systemsprobabilistic risk analysis

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Distribution theory (60E99)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• stochastic quasigradient methods and their application to system optimization^†
• Sensitivity analysis of discrete event systems by the push out method
• Title not available (Why is that?)
• A differentiation formula for integrals overseas given by inclusion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Augmented infinitesimal perturbation analysis: An alternate explanation

Cited In (41)

• Derivatives of probability functions and integrals over sets given by inequalities
• Differentiation of probability functions: The transformation method
• A discussion of probability functions and constraints from a variational perspective
• Level bundle methods for constrained convex optimization with various oracles
• On derivative by parameter of functions represented as integral with changing boundary
• Analytic approximation and differentiability of joint chance constraints
• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• On probabilistic constraints induced by rectangular sets and multivariate normal distributions
• Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization
• (Sub-)differentiability of probability functions with elliptical distributions
• Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
• Sampling derivatives of probabilities
• Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
• Smooth Approximation of the Quantile Function Derivatives
• Extensions of stochastic optimization results to problems with system failure probability functions
• Eventual convexity of probability constraints with elliptical distributions
• Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems
• Title not available (Why is that?)
• Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints
• 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
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• Gradients and subgradients of buffered failure probability
• Probability functions generated by set-valued mappings: a study of first order information
• Title not available (Why is that?)
• Rectangular chance constrained geometric optimization
• Derivatives of probability functions: unions of polyhedra and elliptical distributions
• A characterization of the subdifferential of singular Gaussian distribution functions
• Differentiability of probability function
• Variance properties of sample path derivatives of parametric random variables
• Marginal Decomposition of Risk Measures
• Estimates of derivatives of random functions. I
• A derivative-free trust-region algorithm with copula-based models for probability maximization problems
• Estimates of derivatives of random functions. II
• An Inner-Outer Approximation Approach to Chance Constrained Optimization
• A connection between derivates and processes
• Probabilistic models and relations for special functions. II
• Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk
• A differentiation formula for integrals overseas given by inclusion
• On the Convexity of Level-sets of Probability Functions

This page was built for publication: Derivatives of probability functions and some applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1896458)