Gradients and subgradients of buffered failure probability

DOI10.1016/J.ORL.2021.10.004OpenAlexW3209257623MaRDI QIDQ2670447

Johannes O. Royset, Ji-Eun Byun

Publication date: 11 March 2022

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.05391

zbMATH Keywords

sensitivityoptimality conditionbuffered probability of exceedancebuffered failure probability

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
• Subdifferential characterization of probability functions under Gaussian distribution
• Maximization of AUC and buffered AUC in binary classification
• Derivatives of probability functions and some applications
• Application of buffered probability of exceedance in reliability optimization problems
• Derivatives and subderivatives of buffered probability of exceedance
• Extensions of stochastic optimization results to problems with system failure probability functions
• Lectures on Stochastic Programming
• Variational Analysis
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• An Optimization Primer
• Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation

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