Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms

DOI10.1007/S10957-020-01634-9zbMATH Open1437.90118OpenAlexW3006398378MaRDI QIDQ1985288FDOQ1985288

Authors: Wim van Ackooij, Pedro Pérez-Aros 

Publication date: 7 April 2020

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-020-01634-9

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zbMATH Keywords

stochastic optimizationchance constraintsprobabilistic constraintsgradients of probability functions

Mathematics Subject Classification ID

Quadratic programming (90C20) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Cites Work

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Cited In (14)

• Gradient formulae for probability functions depending on a heterogenous family of constraints
• A discussion of probability functions and constraints from a variational perspective
• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• Title not available (Why is that?)
• (Sub-)differentiability of probability functions with elliptical distributions
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
• Probability functions generated by set-valued mappings: a study of first order information
• Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
• Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
• Derivatives of probability functions: unions of polyhedra and elliptical distributions
• Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
• Control in probability for SDE models of growth population
• A gradient formula for linear chance constraints under Gaussian distribution

Uses Software

• GloptiPoly

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