Differentiability of probability function

DOI10.1080/07362999808809581zbMath0915.60018OpenAlexW2036529462MaRDI QIDQ4223645

A. I. Kibzun, Stanislav P. Uryasev

Publication date: 6 January 1999

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999808809581

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Probabilistic measure theory (60A10)

Related Items (16)

Differentiability conditions for stochastic hybrid systems with application to the optimal design of microgrids ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution ⋮ Gradient formulae for probability functions depending on a heterogenous family of constraints ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Generalized gradients for probabilistic/robust (probust) constraints ⋮ Subdifferential characterization of probability functions under Gaussian distribution ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ On probabilistic capacity maximization in a stationary gas network ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets

Cites Work

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• Sampling derivatives of probabilities
• Sensitivity analysis of discrete event systems by the push out method
• Derivatives of probability functions and integrals over sets given by inequalities
• Derivatives of probability functions and some applications
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• A differentiation formula for integrals overseas given by inclusion
• Deterministic Solutions for a Class of Chance-Constrained Programming Problems

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