Browsing by Author "Henrion, René"

Now showing items 1-4 of 4

2011-09-13Buch

A gradient formula for linear chance constraints under Gaussian distribution

Henrion, René; Möller, Andris

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 ...
2013-07-25Buch

Conditioning of linear-quadratic two-stage stochastic optimization problems

Emich, Konstantin; Henrion, René; Römisch, Werner

In this paper a condition number for linear-quadratic two-stage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set ...
2012-02-20Buch

Gradient estimates for Gaussian distribution functions: Application to probabilistically constrained optimization problems

Henrion, René

We provide lower estimates for the norm of gradients of Gaussian distribution functions and apply the results obtained to a special class ofprobabilistically constrained optimization problems. In particular, it is shown ...
2017-04-19Buch

Optimal scenario generation and reduction in stochastic programming

Henrion, René; Römisch, Werner

Scenarios are indispensable ingredients for the numerical solution of stochastic optimization problems. Earlier approaches for optimal scenario generation and reduction are based on stability arguments involving distances ...