Gradients and subgradients of buffered failure probability

DOI10.1016/J.ORL.2021.10.004MaRDI QIDQ2670447zbMATH OpenOpenAlexFDO

Authors Johannes O. Royset, Ji-Eun Byun

Publication date 11 March 2022

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.05391

zbMATH Keywords

buffered failure probabilitybuffered probability of exceedanceoptimality conditionsensitivity

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Recommendations

• Derivatives and subderivatives of buffered probability of exceedance
• Application of buffered probability of exceedance in reliability optimization problems
• On reliability of hierarchical systems with gradual failures
• Recursive estimation of a failure probability for a Lipschitz function
• Parallel algorithms for computing and optimizing reliability with respect to gradual failures
• Gradient estimates for the performance of Markov chains and discrete event processes
• scientific article; zbMATH DE number 1031393
• Extensions of stochastic optimization results to problems with system failure probability functions
• Improved Bounds for System-Failure Probability
• Estimation and asymptotics for buffered probability of exceedance

Cites work

• An Optimization Primer
• Application of buffered probability of exceedance in reliability optimization problems
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
• Derivatives and subderivatives of buffered probability of exceedance
• Derivatives of probability functions and some applications
• Extensions of stochastic optimization results to problems with system failure probability functions
• Lectures on Stochastic Programming
• Maximization of AUC and buffered AUC in binary classification
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• Subdifferential characterization of probability functions under Gaussian distribution
• Variational Analysis

Cited in

(2)

• Gradients and Subgradients of Buffered Failure Probability
• Risk-adaptive approaches to stochastic optimization: a survey

This page was built for publication: Gradients and subgradients of buffered failure probability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2670447)