Abstract
Probability functions depending upon parameters are represented as integrals over sets given by inequalities. New derivative formulas for the intergrals over a volume are considered. Derivatives are presented as sums of integrals over a volume and over a surface. Two examples are discussed: probability functions with linear constraints (random right-hand sides), and a dynamical shut-down problem with sensors.
| Original language | English |
|---|---|
| Pages (from-to) | 287-311 |
| Number of pages | 25 |
| Journal | Annals of Operations Research |
| Volume | 56 |
| Issue number | 1 |
| DOIs | |
| State | Published - Dec 1995 |
Keywords
- discrete event dynamic systems
- gradient of integral
- optimization
- probabilistic risk analysis
- Probability functions
- sensitivity analysis
- shut-down problem
Fingerprint
Dive into the research topics of 'Derivatives of probability functions and some applications'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver