Gradients and Subgradients of Buffered Failure Probability

Autor:	Royset, Johannes O., Byun, Ji-Eun
Rok vydání:	2021
Předmět:	Mathematics - Optimization and Control Computer Science - Machine Learning
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2109.05391 Zobrazit plný text záznamu View this record from Arxiv