Gradients and subgradients of buffered failure probability

被引：4

作者：

Royset, Johannes O. ^{[1
]}

Byun, Ji-Eun ^{[2
]}

机构：

[1] Naval Postgrad Sch, Operat Res Dept, Monterey, CA 93943 USA

[2] Tech Univ Munich, Engn Risk Anal Grp, Munich, Germany

来源：

OPERATIONS RESEARCH LETTERS | 2021年 / 49卷 / 06期

关键词：

Buffered failure probability; Buffered probability of exceedance; Optimality condition; Sensitivity; OPTIMIZATION; DERIVATIVES;

D O I：

10.1016/j.orl.2021.10.004

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Gradients and subgradients are central to optimization and sensitivity analysis of buffered failure probabilities. We furnish a characterization of subgradients based on subdifferential calculus in the case of finite probability distributions and, under additional assumptions, also a gradient expression for general distributions. Several examples illustrate the application of the results, especially in the context of optimality conditions. Published by Elsevier B.V.

引用

页码：868 / 873

页数：6

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