(Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
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Publication:5269854
DOI10.1137/16M1061308zbMATH Open1434.90111MaRDI QIDQ5269854FDOQ5269854
Publication date: 28 June 2017
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
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stochastic optimizationClarke subdifferentialprobabilistic constraintspheric-radial decompositionMordukhovich subdifferentialgradients of probability functionsmulti-variate Gaussian distribution
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Cited In (40)
- Solving joint chance constrained problems using regularization and Benders' decomposition
- Derivatives of probability functions and integrals over sets given by inequalities
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- A discussion of probability functions and constraints from a variational perspective
- Large-scale unit commitment under uncertainty: an updated literature survey
- A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs
- Analytic approximation and differentiability of joint chance constraints
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- An enumerative formula for the spherical cap discrepancy
- Generalized Leibniz Rules and Lipschitzian Stability for Expected-Integral Mappings
- Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization
- On probabilistic capacity maximization in a stationary gas network
- (Sub-)differentiability of probability functions with elliptical distributions
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- Pontryagin's principle for some probabilistic control problems
- Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Eventual convexity of probability constraints with elliptical distributions
- A bundle method for nonsmooth DC programming with application to chance-constrained problems
- Subdifferential characterization of probability functions under Gaussian distribution
- Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints
- Probability maximization via Minkowski functionals: convex representations and tractable resolution
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Generalized gradients for probabilistic/robust (probust) constraints
- Probability functions generated by set-valued mappings: a study of first order information
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
- Rectangular chance constrained geometric optimization
- An agricultural investment problem subject to probabilistic constraints
- Joint model of probabilistic-robust (probust) constraints applied to gas network optimization
- Subdifferential Calculus Rules for Possibly Nonconvex Integral Functions
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- A joint model of probabilistic/robust constraints for gas transport management in stationary networks
- Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- A derivative-free trust-region algorithm with copula-based models for probability maximization problems
- An Inner-Outer Approximation Approach to Chance Constrained Optimization
- On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints
- On the Convexity of Level-sets of Probability Functions
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