Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems

DOI10.3934/NACO.2012.2.655zbMATH Open1295.90030OpenAlexW2079817869MaRDI QIDQ1940951FDOQ1940951

Authors: René Henrion 

Publication date: 11 March 2013

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2012.2.655

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zbMATH Keywords

stochastic optimizationchance constraintsprobabilistic constraintsGaussian distribution functionsensitivity of optimal values

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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