2012-02-20Buch DOI: 10.18452/8421
Gradient estimates for Gaussian distribution functions: Application to probabilistically constrained optimization problems
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 how the precision of computing gradients in such problems can be controlled by the precision of function values for Gaussian distribution functions. Moreover, a sensitivity result for optimal values with respect to perturbations of theunderlying random vector is derived. It is shown that the so-called maximal increasing slope of the optimal value with respect to the Kolmogorov distance between original and perturbed distribution can be estimated explicitly fromthe input data of the problem.
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Is Part Of Series: Numerical Algebra, Control and Optimization