A gradient formula for linear chance constraints under Gaussian distribution
From MaRDI portal
Publication:2925341
DOI10.1287/MOOR.1120.0544zbMATH Open1297.90095OpenAlexW1981435784MaRDI QIDQ2925341FDOQ2925341
Authors: 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
Recommendations
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- On distributionally robust chance-constrained linear programs
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
chance constraintsprobabilistic constraintsderivative of Gaussian probability for polyhedraderivative of singular normal distribution
Cites Work
- Computation of multivariate normal and \(t\) probabilities
- On numerical calculation of probabilities according to Dirichlet distribution
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
- Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
- Dual methods for probabilistic optimization problems.
- Abstract tubes, improved inclusion-exclusion identities and inequalities and importance sampling
- Evaluation of a special multivariate gamma distribution function
- Differentiability of probability function
- Numerical evaluation of singular multivariate normal distributions
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Computing probabilites of rectangles in case of multinormal distribution
- Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
Cited In (33)
- Solving joint chance constrained problems using regularization and Benders' decomposition
- A discussion of probability functions and constraints from a variational perspective
- Large-scale unit commitment under uncertainty: an updated literature survey
- Analytic approximation and differentiability of joint chance constraints
- A polyhedral study on chance constrained program with random right-hand side
- An inner-outer approximation approach to chance constrained optimization
- (Sub-)differentiability of probability functions with elliptical distributions
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers
- Eventual convexity of probability constraints with elliptical distributions
- On the convexity of level-sets of probability functions
- Probabilistic constraints via SQP solver: application to a renewable energy management problem
- Second-order differentiability of probability functions
- Exact penalization in stochastic programming -- calmness and constraint qualification
- Large-scale unit commitment under uncertainty
- Joint chance constrained programming for hydro reservoir management
- An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints
- A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- A characterization of the subdifferential of singular Gaussian distribution functions
- A derivative-free trust-region algorithm with copula-based models for probability maximization problems
- Generalized differentiation of probability functions acting on an infinite system of constraints
- (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
- Solving chance-constrained optimization problems with stochastic quadratic inequalities
This page was built for publication: A gradient formula for linear chance constraints under Gaussian distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2925341)
