(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution
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Publication:5269854
DOI10.1137/16M1061308zbMath1434.90111MaRDI QIDQ5269854
Publication date: 28 June 2017
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
stochastic optimizationClarke subdifferentialMordukhovich subdifferentialprobabilistic constraintspheric-radial decompositiongradients of probability functionsmulti-variate Gaussian distribution
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