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Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
11 references·1 citing·28 second hop
Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design (2005)Probability Gradient Estimation by Set-Va…Optimization of Stochastic Models: The Interface Between Simulation and Optimization (1998)Optimization of Stochastic Mo…Differentiability of probability function (1998)Differentiability of probabil…Stochastic Programming Problems with Probability and Quantile Functions (1997)Stochastic Programming Proble…Optimization of Stochastic Models (1996)Optimization of Stochastic Mo…Stochastic Programming (1995)Stochastic ProgrammingDiscrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)Discrete Event Systems: Sensi…Differentiation of probability functions: The transformation method (1995)Differentiation of probabilit…Derivatives of probability functions and some applications (1995)Derivatives of probability fu…Derivatives of probability functions and integrals over sets given by inequalities (1994)Derivatives of probability fu…Sensitivity analysis of discrete event systems by the “push out” method (1992)Sensitivity analysis of discr…Gradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…(Sub-)Differentiability of Probability Functions with Elliptical Distributions (2017)(Sub-)Differentiability of Pr…The Natural Drift: What Happened to Operations Research? (1993)Algorithms for Optimization of Value-at-Risk (2002)Conditional value-at-risk for general loss distributions (2002)A Robust Optimization Perspective on Stochastic Programming (2007)Applied Probability and Queues (1987)Importance Sampling for Stochastic Simulations (1989)Optimization of computer simulation models with rare events (1997)Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk) (2000)Methods for Structural Reliability Computations (1991)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Conditional value-at-risk: optimization algorithms and applications (2002)Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk (2016)Optimization via simulation: A review (1994)Structural Reliability Theory and Its Applications (1982)Dynamic Stochastic Optimization (2004)Stochastic Linear Programming (2010)A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution (2012)Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions (2014)Structural Reliability Analysis and Prediction (2017)ON PROBABILISTIC CONSTRAINED PROGRAMMING (2015)Eventual convexity of probability constraints with elliptical distributions (2018)Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization (2018)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Monte Carlo Sampling Methods (2003)Lectures on Stochastic Programming (2009)Implementation of the simultaneous perturbation algorithm for stochastic optimization (1998)Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)Theory and Applications of Robust Optimization (2011)
this work references cited by second hop

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  • 1995Differentiation of probability functions: The transformation method46 cited
  • 1998Differentiability of probability function38 cited

Cited by

  • 2017(Sub-)Differentiability of Probability Functions with Elliptical Distributions26 cited

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