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(Sub-)Differentiability of Probability Functions with Elliptical Distributions · Study

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Article(Sub-)Differentiability of Probability Functions with Elliptical Distributions

Wim Stefanus van Ackooij2017

Article2017

(Sub-)Differentiability of Probability Functions with Elliptical Distributions

Wim Stefanus van Ackooij · I. Aleksovska · Miguel Munoz-Zuniga

26 citations·0/0 files stored·Set-Valued and Variational Analysis

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Risk and Portfolio Optimization Optimization and Variational Analysis Advanced Optimization Algorithms Research

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References

1995Stochastic Programming 2008A Sample Approximation Approach for Optimization with Probabilistic Constraints 2003Probabilistic Programming 2010On mixing sets arising in chance-constrained programming 1995Derivatives of probability functions and some applications 2014Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions 2007Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions 1994Derivatives of probability functions and integrals over sets given by inequalities

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2022Optimization under Rare Chance Constraints

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Year2017

Typearticle

Published2017-10-13

VenueSet-Valued and Variational Analysis

ISSN-L1877-0533

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11228-017-0454-3

openalex_workW2763608097

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