A characterization of the subdifferential of singular Gaussian distribution functions
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Publication:494871
DOI10.1007/S11228-015-0317-8zbMATH Open1327.90159OpenAlexW1989631052MaRDI QIDQ494871FDOQ494871
Wim van Ackooij, Michel Minoux
Publication date: 2 September 2015
Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11228-015-0317-8
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Cited In (11)
- A discussion of probability functions and constraints from a variational perspective
- Convergence analysis on a smoothing approach to joint chance constrained programs
- (Sub-)differentiability of probability functions with elliptical distributions
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Second-order differentiability of probability functions
- (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- An Inner-Outer Approximation Approach to Chance Constrained Optimization
- Regularized optimization methods for convex MINLP problems
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