A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution

DOI10.1287/moor.1120.0544zbMath1297.90095OpenAlexW1981435784MaRDI QIDQ2925341

René Henrion, Andris Möller

Publication date: 21 October 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/10264484cff581671bee51b3e2aa177186b8f27c

zbMATH Keywords

chance constraintsprobabilistic constraintsderivative of Gaussian probability for polyhedraderivative of singular normal distribution

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic network models in operations research (90B15)

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