Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
type: Item
instance of: scholarly article
title: Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
zbMATH Open document ID: 1227.60024
author: Werner Römisch
author: René Henrion
published in: Annals of Operations Research
publication date: 2010-10-04T00:00:00Z
full work available at URL: http://edoc.hu-berlin.de/18452/8992
Mathematics Subject Classification ID: 60E99
Mathematics Subject Classification ID: 60Exx
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 26B05
zbMATH DE Number: 5795198
zbMATH Keywords: quasi-concave measures
zbMATH Keywords: singular normal distributions
zbMATH Keywords: Lipschitz continuity
zbMATH Keywords: differentiability
zbMATH Keywords: stochastic optimization
zbMATH Keywords: probabilistic constraints
describes a project that uses: QSIMVN
MaRDI profile type: Publication
OpenAlex ID: W2127294592
cites work: Q3968042
cites work: Q4167890
cites work: Metric regularity and quantitative stability in stochastic programs with probabilistic constraints.
cites work: Abstract tubes, improved inclusion-exclusion identities and inequalities and importance sampling
cites work: Q4838490
cites work: Stability of Solutions for Stochastic Programs with Complete Recourse
cites work: Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function
DOI: 10.1007/S10479-009-0598-0
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description: scientific article; zbMATH DE number 5795198