Derivatives of probability functions and some applications

DOI10.1007/BF02031712zbMath0824.60015MaRDI QIDQ1896458

Stanislav P. Uryasev

Publication date: 27 August 1995

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

zbMATH Keywords

optimization; inequalities; sensitivity analysis; discrete event dynamic systems; probabilistic risk analysis

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60E99: Distribution theory

Related Items

Level bundle methods for constrained convex optimization with various oracles, A characterization of the subdifferential of singular Gaussian distribution functions, On probabilistic constraints induced by rectangular sets and multivariate normal distributions, Extensions of stochastic optimization results to problems with system failure probability functions, Advances and applications of chance-constrained approaches to systems optimisation under uncertainty, Marginal Decomposition of Risk Measures, Differentiability of probability function

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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