A characterization of the subdifferential of singular Gaussian distribution functions

DOI10.1007/s11228-015-0317-8zbMath1327.90159OpenAlexW1989631052MaRDI QIDQ494871

Wim van Ackooij, Michel Minoux

Publication date: 2 September 2015

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-015-0317-8

zbMATH Keywords

stochastic programminggradientschance constrained programmingprobabilistic constraints

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic network models in operations research (90B15)

Related Items

Second-order differentiability of probability functions ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ A comparison of four approaches from stochastic programming for large-scale unit-commitment ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Regularized optimization methods for convex MINLP problems ⋮ Convergence analysis on a smoothing approach to joint chance constrained programs ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution

Uses Software

• QSIMVN

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