A differentiation formula for integrals over sets given by inclusion

Stanislav Uryas'ev

doi:10.1080/01630568908816332

A differentiation formula for integrals over sets given by inclusion

Stanislav Uryas'ev

Applied Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

19 Scopus citations

Abstract

Formulae for differentiation with respect to the parameter of an integral over the set given by an inclusion are proposed. The case with bounded and unbounded set is discussed. Such formulae can be used for differentiation of probability functions. An algorithm for solving chance constrainted optimization problems is consider-ed.

Original language	English
Pages (from-to)	827-841
Number of pages	15
Journal	Numerical Functional Analysis and Optimization
Volume	10
Issue number	7-8
DOIs	https://doi.org/10.1080/01630568908816332
State	Published - Jan 1989

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abstract = "Formulae for differentiation with respect to the parameter of an integral over the set given by an inclusion are proposed. The case with bounded and unbounded set is discussed. Such formulae can be used for differentiation of probability functions. An algorithm for solving chance constrainted optimization problems is consider-ed.",

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A differentiation formula for integrals over sets given by inclusion

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