A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
نویسندگان
چکیده
منابع مشابه
A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This formula allows one to reduce the calculus of gradients to the calculus of values of the same type of chance constraints (in smaller dimension and with different distribution parameters). This is an important aspect for the numerical solution of stochastic op...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2012
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1120.0544