Derivatives and subderivatives of buffered probability of exceedance

被引：4
|
作者：
Zhang, Tong [1 ]
Uryasev, Stan [1 ]
Guan, Yongpei [1 ]
机构：
[1] Univ Florida, Dept Ind & Syst Engn, Gainesville, FL 32611 USA
来源：
OPERATIONS RESEARCH LETTERS | 2019年 / 47卷 / 02期
基金：
美国国家科学基金会;
关键词：
Buffered probability of exceedance; CVaR; Gradient; Quasigradient; RISK;
D O I：
10.1016/j.orl.2019.02.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this letter, we study the derivatives and subderivatives of buffered probability of exceedance (bPOE), in which we provide the mathematical expressions with rigorous proofs for the case when bPOE is smooth. Furthermore, we extend the study to a general non-smooth case for which a set of quasigradients are explored, under a mild assumption, i.e., the corresponding random function with respect to the decision variable is convex. (C) 2019 Elsevier B.V. All rights reserved.
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页码：130 / 132
页数：3
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