edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): René Henrion, Weierstrass Institute Berlin
Andris Möller, Weierstrass Institute Berlin
Title: A gradient formula for linear chance constraints under Gaussian distribution
Date of Acceptance: 13.09.2011
Submission Date: 06.07.2011
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-100192728)
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  
print on demand: If you click on this icon you can order a print copy of this publication. Bestellung als gedruckte und gebundene Version bei epubli.de, Ausführung der Bestellung erst nach Bestätigung auf den epubli.de-Seiten
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.
  • connotea
  • del.icio.us
  • Furl
  • RawSugar

Abstract (eng):
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 optimization problems because existing efficient codes for e.g., calculating singular Gaussian distributions or regular Gaussian probabilities of polyhedra can be employed to calculate gradients at the same time. Moreover, the precision of gradients can be controlled by that of function values, which is a great advantage over using finite difference approximations. Finally, higher order derivatives are easily derived explicitly. The use of the obtained formula is illustrated for an example of a stochastic transportation network.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Startseite: 12 ZugriffePDF: 10 ZugriffeStartseite: 14 ZugriffePDF: 14 ZugriffeStartseite: 25 ZugriffePDF: 20 ZugriffeStartseite: 11 ZugriffePDF: 22 ZugriffeStartseite: 7 ZugriffePDF: 9 ZugriffeStartseite: 11 ZugriffePDF: 39 ZugriffeStartseite: 1 ZugriffePDF: 18 ZugriffeStartseite: 11 ZugriffePDF: 21 ZugriffeStartseite: 2 ZugriffePDF: 19 ZugriffeStartseite: 3 ZugriffePDF: 20 ZugriffeStartseite: 2 ZugriffePDF: 16 ZugriffeStartseite: 7 ZugriffePDF: 22 ZugriffePDF: 19 ZugriffePDF: 27 ZugriffePDF: 17 ZugriffeStartseite: 3 ZugriffePDF: 11 ZugriffeStartseite: 1 ZugriffePDF: 16 Zugriffe
Sep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13

MonatSep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13
Startseite121425117111112327   31
PDF101420229391821192016221927171116

Gesamtzahl der Zugriffe seit Sep 2011:

  • Startseite – 110 (6.47 pro Monat)
  • PDF – 320 (18.82 pro Monat)
    •  
 
Generated at 18.05.2013, 17:15:28

edoc-Server der Humboldt-Universität zu Berlin  •  Impressum  •  edoc@cms.hu-berlin.de  •  Nutzungsbedingungen  •  Haftungsausschluss  •  Statistik