Derivatives of probability functions and some applications

Uryasev S (1995). Derivatives of probability functions and some applications. Annals of Operations Research 56 (1): 287-311. DOI:10.1007/BF02031712.

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Abstract

Probability functions depending upon parameters are represented as integrals over sets given by inequalities. New derivative formulas for the intergrals over a volume are considered. Derivatives are presented as sums of integrals over a volume and over a surface. Two examples are discussed: probability functions with linear constraints (random right-hand sides), and a dynamical shut-down problem with sensors.

Item Type: Article
Research Programs: Social & Environmental Dimensions of Technology (SET)
Depositing User: Romeo Molina
Date Deposited: 21 Apr 2016 12:55
Last Modified: 21 Apr 2016 12:55
URI: http://pure.iiasa.ac.at/12828

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