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search.filters.applied.f.access: openAccess × Author: Henrion, René × Type: Text × Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik × Subject: gradients of probability functions ×

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    Gradient formulae for nonlinear probabilistic constraints with Gaussian and aussian-like distributions
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) van Ackooij, Wim; Henrion, René
    Probabilistic constraints represent a major model of stochastic optimization. A possible approach for solving probabilistically constrained optimization problems consists in applying nonlinear programming methods. In order 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 successfully done by analytically reducing these values and gradients to values of Gaussian distribution functions and computing the latter, for instance, by Genz’ code. For nonlinear models one may fall back on the spherical-radial decomposition of Gaussian random vectors and apply, for instance, Deák’s sampling scheme for the uniform distribution on the sphere in order to compute values of corresponding probability functions. The present paper demonstrates how the same sampling scheme can be used in order to simultaneously compute gradients of these probability functions. More precisely, we prove a formula representing these gradients in the Gaussian case as a certain integral over the sphere again. Later, the result is extended to alternative distributions with an emphasis on the multivariate Student (or T-) distribution.
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    (Sub-) Gradient formulae for probability functions of random inequality systems under Gaussian distribution
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Ackooij, Wim van; Henrion, René
    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.
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    Generalized gradients for probabilistic/robust (probust) constraints
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2019) Ackooij, Wim van; Henrion, René; Pérez-Aros, Pedro
    Probability functions are a powerful modelling tool when seeking to account for uncertainty in optimization problems. In practice, such uncertainty may result from different sources for which unequal information is available. A convenient combination with ideas from robust optimization then leads to probust functions, i.e., probability functions acting on generalized semi-infinite inequality systems. In this paper we employ the powerful variational tools developed by Boris Mordukhovich to study generalized differentiation of such probust functions. We also provide explicit outer estimates of the generalized subdifferentials in terms of nominal data.