Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
From MaRDI portal
Publication:1940951
DOI10.3934/naco.2012.2.655zbMath1295.90030MaRDI QIDQ1940951
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
stochastic optimization; chance constraints; probabilistic constraints; Gaussian distribution function; sensitivity of optimal values