A gradient formula for linear chance constraints under Gaussian distribution
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Cites work
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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
- A polyhedral study on chance constrained program with random right-hand side
- Analytic approximation and differentiability of joint chance constraints
- (Sub-)differentiability of probability functions with elliptical distributions
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- An inner-outer approximation approach to chance constrained optimization
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers
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- Joint chance constrained programming for hydro reservoir management
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- An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
- 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
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- A characterization of the subdifferential of singular Gaussian distribution functions
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints
- 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
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