Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
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Publication:5245369
DOI10.1137/130922689zbMath1319.93080OpenAlexW2053391173MaRDI QIDQ5245369
Publication date: 8 April 2015
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130922689
stochastic optimizationGaussian distributionschance constraintsprobabilistic constraintsgradients of probability functions
Numerical mathematical programming methods (65K05) Probability distributions: general theory (60E05) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
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