Differentiation Formula for Integrals Over Sets Given by Inclusion

Uryasev SP (1988). Differentiation Formula for Integrals Over Sets Given by Inclusion. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-059

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Abstract

Formulae for differentiation with respect to the parameter of an integral over the set given by an inclusion are proposed. Such formulae are useful for solving chance constrained optimization problems. Using these formulae one can compute the gradient (or stochastic quasi-gradient) of the chance constraint and consequently apply gradient (or stochastic quasi-gradient) algorithm for the optimization.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:59
Last Modified: 24 Jul 2016 05:55
URI: http://pure.iiasa.ac.at/3146

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