Buffered and reduced multidimensional distribution functions and their application in optimization
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Publication:6191974
DOI10.1007/s11590-023-02045-1MaRDI QIDQ6191974
Stan Uryasev, Alexander Mafusalov, Michael Zabarankin, Bogdan Grechuk
Publication date: 11 March 2024
Published in: Optimization Letters (Search for Journal in Brave)
conditional value-at-riskcumulative distribution functionCDFbuffered probability of exceedanceprobability of exceedanceBPOE
Cites Work
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- Globally convergent block-coordinate techniques for unconstrained optimization
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES
- Convex Analysis
- On search directions for minimization algorithms
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