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arXiv · 2109.05391

Gradients and Subgradients of Buffered Failure Probability

Johannes O. Royset·Ji-Eun Byun
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Abstract

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.

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Johannes O. Royset, Ji-Eun Byun. 2021-09-12. Gradients and Subgradients of Buffered Failure Probability. https://arxiv.org/abs/2109.05391

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