(Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
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Cites work
- scientific article; zbMATH DE number 995813 (Why is no real title available?)
- scientific article; zbMATH DE number 3791104 (Why is no real title available?)
- scientific article; zbMATH DE number 46303 (Why is no real title available?)
- scientific article; zbMATH DE number 3461174 (Why is no real title available?)
- scientific article; zbMATH DE number 3514806 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- A characterization of the subdifferential of singular Gaussian distribution functions
- A gradient formula for linear chance constraints under Gaussian distribution
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Computation of multivariate normal and t probabilities
- Computing probabilites of rectangles in case of multinormal distribution
- Derivatives of probability functions and integrals over sets given by inequalities
- Derivatives of probability functions and some applications
- Differentiability of probability function
- Differentiation of probability functions: The transformation method
- Extensions of stochastic optimization results to problems with system failure probability functions
- Generic Differentiability of Lipschitzian Functions
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
- Implementable algorithm for stochastic optimization using sample average approximations
- Lectures on Stochastic Programming
- Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
- On joint probabilistic constraints with Gaussian coefficient matrix
- Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
- Projecting the surface measure of the sphere of \({\ell}_p^n\)
- QMC designs: optimal order quasi Monte Carlo integration schemes on the sphere
- Second-order differentiability of probability functions
- Subroutines for computing normal probabilities of sets -- computer experiences
- Variational Analysis
Cited in
(46)- Solving joint chance constrained problems using regularization and Benders' decomposition
- Derivatives of probability functions and integrals over sets given by inequalities
- A discussion of probability functions and constraints from a variational perspective
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- Subdifferential calculus rules for possibly nonconvex integral functions
- Large-scale unit commitment under uncertainty: an updated literature survey
- Differentiability of probability functions involving star-shaped valued set-valued maps
- A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs
- 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
- Analytic approximation and differentiability of joint chance constraints
- (Sub-)differentiability of probability functions with elliptical distributions
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- An inner-outer approximation approach to chance constrained optimization
- On probabilistic capacity maximization in a stationary gas network
- 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
- On the convexity of level-sets of probability functions
- Approximating inequality systems within probability functions: studying implications for problems and consistency of first-order information
- Subdifferential characterization of probability functions under Gaussian distribution
- A gradient-based method for joint chance-constrained optimization with continuous distributions
- Probability functions, differentiability, arbitrary laws and mixtures of ellipticals
- Generalized Leibniz rules and Lipschitzian stability for expected-integral mappings
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Probability maximization via Minkowski functionals: convex representations and tractable resolution
- Generalized gradients for probabilistic/robust (probust) constraints
- Probability functions generated by set-valued mappings: a study of first order information
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
- Rectangular chance constrained geometric optimization
- A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
- An agricultural investment problem subject to probabilistic constraints
- Joint model of probabilistic-robust (probust) constraints applied to gas network optimization
- 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
- A derivative-free trust-region algorithm with copula-based models for probability maximization problems
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- Generalized differentiation of probability functions acting on an infinite system of constraints
- Optimal control under uncertainty with joint chance state constraints: almost-everywhere bounds, variance reduction, and application to (bi)linear elliptic PDEs
- On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints
- Existence and optimality conditions for risk-averse PDE-constrained optimization
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