(Sub-) Gradient formulae for probability functions of random inequality systems under Gaussian distribution
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2230 | |
dc.contributor.author | Ackooij, Wim van | |
dc.contributor.author | Henrion, René | |
dc.date.accessioned | 2016-12-13T10:46:58Z | |
dc.date.available | 2019-06-28T08:01:57Z | |
dc.date.issued | 2016 | |
dc.description.abstract | We consider probability functions of parameter-dependent random inequality systems under Gaussian distribution. As a main result, we provide an upper estimate for the Clarke subdifferential of such probability functions without imposing compactness conditions. A constraint qualification ensuring continuous differentiability is formulated. Explicit formulae are derived from the general result in case of linear random inequality systems. In the case of a constant coefficient matrix an upper estimate for even the smaller Mordukhovich subdifferential is proven. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/3282 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1648 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Stochastic optimization | eng |
dc.subject.other | gradients of probability functions | eng |
dc.subject.other | spheric radial decomposition | eng |
dc.subject.other | multivariate Gaussian distribution | eng |
dc.subject.other | Clarke subdifferential | eng |
dc.subject.other | Mordukhovich subdifferential | eng |
dc.subject.other | probabilistic constraint | eng |
dc.title | (Sub-) Gradient formulae for probability functions of random inequality systems under Gaussian distribution | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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