A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
From MaRDI portal
Publication:2925341
DOI10.1287/moor.1120.0544zbMath1297.90095OpenAlexW1981435784MaRDI QIDQ2925341
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
chance constraintsprobabilistic constraintsderivative of Gaussian probability for polyhedraderivative of singular normal distribution
Related Items (26)
Second-order differentiability of probability functions ⋮ Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ Nonlinear chance constrained problems: optimality conditions, regularization and solvers ⋮ A comparison of four approaches from stochastic programming for large-scale unit-commitment ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ A polyhedral study on chance constrained program with random right-hand side ⋮ A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support ⋮ A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ A characterization of the subdifferential of singular Gaussian distribution functions ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs ⋮ Exact penalization in stochastic programming -- calmness and constraint qualification ⋮ Analytic approximation and differentiability of joint chance constraints ⋮ Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ A derivative-free trust-region algorithm with copula-based models for probability maximization problems ⋮ Large-scale unit commitment under uncertainty ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Probabilistic constraints via SQP solver: application to a renewable energy management problem ⋮ Joint chance constrained programming for hydro reservoir management
Cites Work
- Dual methods for probabilistic optimization problems.
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Computation of multivariate normal and \(t\) probabilities
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Abstract tubes, improved inclusion-exclusion identities and inequalities and importance sampling
- Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
- On numerical calculation of probabilities according to Dirichlet distribution
- Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
- Evaluation of a special multivariate gamma distribution function
- Computing probabilites of rectangles in case of multinormal distribution
- Differentiability of probability function
- Numerical evaluation of singular multivariate normal distributions
- Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
This page was built for publication: A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
