Second-order differentiability of probability functions
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Publication:2361140
DOI10.1007/s11590-016-1015-7zbMath1377.90063OpenAlexW2261073569MaRDI QIDQ2361140
Wim van Ackooij, Jérôme Malick
Publication date: 29 June 2017
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11590-016-1015-7
Related Items (13)
A discussion of probability functions and constraints from a variational perspective ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ Probability functions generated by set-valued mappings: a study of first order information ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Generalized gradients for probabilistic/robust (probust) constraints ⋮ Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ A derivative-free trust-region algorithm with copula-based models for probability maximization problems ⋮ Control in probability for SDE models of growth population ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
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