• Mathematics, Computer Science
  • Published in SIAM Journal on Optimization 2014
  • DOI:10.1137/130922689

Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions

@article{Ackooij2014GradientFF,
  title={Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions},
  author={Wim van Ackooij and Ren{\'e} Henrion},
  journal={SIAM Journal on Optimization},
  year={2014},
  volume={24},
  pages={1864-1889}
}
Probabilistic constraints represent a major model of stochastic optimization. A possible approach for solving probabilistically constrained optimization problems consists in applying nonlinear programming methods. To do so, one has to provide sufficiently precise approximations for values and gradients of probability functions. For linear probabilistic constraints under Gaussian distribution this can be done successfully by analytically reducing these values and gradients to values of Gaussian… CONTINUE READING

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