A differentiation formula for integrals overseas given by inclusion

DOI10.1080/01630568908816332zbMath0682.90083OpenAlexW2081327104MaRDI QIDQ4732311

Stanislav P. Uryasev

Publication date: 1989

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630568908816332

zbMATH Keywords

chance constrained optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Continuity and differentiation questions (26B05) Integration and disintegration of measures (28A50)

Related Items (11)

A discussion of probability functions and constraints from a variational perspective ⋮ Derivatives of probability functions and integrals over sets given by inequalities ⋮ Derivatives of probability functions and some applications ⋮ Differentiation of probability functions: The transformation method ⋮ Differentiation formulas for probability functions: The transformation method ⋮ Level bundle methods for constrained convex optimization with various oracles ⋮ Gradient and Hessian of joint probability function with applications on chance-constrained programs ⋮ Semi-srochastic approximation by the response surface methodology (RMS) ⋮ Differentiability and semismoothness properties of integral functions and their applications ⋮ Star-shaped approximation approach for stochastic programming problems with probability function ⋮ Differentiability of probability function

This page was built for publication: A differentiation formula for integrals overseas given by inclusion