Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
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Publication:2115132
DOI10.1007/S00245-022-09844-5zbMATH Open1493.90117OpenAlexW4220945801MaRDI QIDQ2115132FDOQ2115132
Authors: Wim van Ackooij, Pedro Pérez-Aros 
Publication date: 15 March 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-022-09844-5
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Cited In (9)
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- (Sub-)differentiability of probability functions with elliptical distributions
- Pontryagin's principle for some probabilistic control problems
- Generalized gradients for probabilistic/robust (probust) constraints
- Probability functions generated by set-valued mappings: a study of first order information
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- Generalized differentiation of probability functions acting on an infinite system of constraints
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