(Sub-)Differentiability of Probability Functions with Elliptical Distributions

被引：0
|
作者：
W. van Ackooij
I. Aleksovska
M. Munoz-Zuniga
机构：
[1] EDF R&D,
[2] OSIRIS,undefined
[3] IFP Energies nouvelles,undefined
来源：
Set-Valued and Variational Analysis | 2018年 / 26卷
关键词：
Stochastic optimisation; Probabilistic constraints; Chance constraints; Gradients of probability functions; MSC 90C15; MSC 90C30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we investigate probability functions acting on nonlinear systems wherein the random vector can follow an elliptically symmetric distribution. We provide first and second order differentiability results as well as readily implementable formulæ. We also demonstrate that these formulæ can be readily employed within standard non-linear programming software through a set of illustrative numerical experiments.
引用
收藏
页码：887 / 910
页数：23
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