Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems

DOI10.3934/naco.2012.2.655zbMath1295.90030OpenAlexW2079817869MaRDI QIDQ1940951

René Henrion

Publication date: 11 March 2013

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2012.2.655

zbMATH Keywords

stochastic optimizationchance constraintsprobabilistic constraintsGaussian distribution functionsensitivity of optimal values

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)

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Smooth Approximation of the Quantile Function Derivatives ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Probabilistic constraints via SQP solver: application to a renewable energy management problem ⋮ A linear programming approach for linear programs with probabilistic constraints

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