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

## 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 |
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Research Programs: | Social & Environmental Dimensions of Technology (SET) |

Depositing User: | Romeo Molina |

Date Deposited: | 21 Apr 2016 12:55 |

Last Modified: | 27 Aug 2021 17:40 |

URI: | https://pure.iiasa.ac.at/12828 |

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