Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
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Publication:1985288
DOI10.1007/s10957-020-01634-9zbMath1437.90118OpenAlexW3006398378MaRDI QIDQ1985288
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
stochastic optimizationchance constraintsprobabilistic constraintsgradients of probability functions
Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Stochastic programming (90C15)
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