Generalized differentiation of probability functions acting on an infinite system of constraints
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Publication:5233103
DOI10.1137/18M1181262zbMATH Open1421.90102OpenAlexW2971468916WikidataQ127291138 ScholiaQ127291138MaRDI QIDQ5233103FDOQ5233103
Authors: Wim van Ackooij, Pedro Pérez-Aros 
Publication date: 16 September 2019
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/18m1181262
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stochastic optimizationchance constraintsgeneralized differentiationprobabilistic constraintsprobability functions
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Cited In (14)
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- A discussion of probability functions and constraints from a variational perspective
- Approximate methods for solving chance-constrained linear programs in probability measure space
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- Taylor approximation for chance constrained optimization problems governed by partial differential equations with high-dimensional random parameters
- Demand response versus storage flexibility in energy: multi-objective programming considerations
- Chance constrained optimization of elliptic PDE systems with a smoothing convex approximation
- Generalized Leibniz rules and Lipschitzian stability for expected-integral mappings
- Generalized gradients for probabilistic/robust (probust) constraints
- Probability functions generated by set-valued mappings: a study of first order information
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
- Control in probability for SDE models of growth population
- A differentiation formula for integrals overseas given by inclusion
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