(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution-Reference-Cited by-同舟云学术

(Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution

Published:2017-01 Issue:1 Volume:5 Page:63-87
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

van Ackooij Wim,Henrion R.

Funder

FMJH Program Gaspard Monge in Optimization and Operations Research

Deutsche Forschungsgemeinschaft

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Link

https://epubs.siam.org/doi/pdf/10.1137/16M1061308

Reference21 articles.

1. QMC designs: Optimal order Quasi Monte Carlo integration schemes on the sphere

2. Computing probabilites of rectangles in case of multinormal distribution

3. Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations

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