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

Article ID Journal Published Year Pages File Type
481433 European Journal of Operational Research 2009 11 Pages PDF
Abstract
These tools are implemented in penalized optimization routines adapted to stochastic optimization, and are shown to reduce the computational cost of chance constrained programming substantially.
Keywords
90C1565C05Applied probabilityStochastic programmingMonte Carlo methods
Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
Preview
Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
Authors
Josselin Garnier, Abdennebi Omrane, Youssef Rouchdy,
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Journal
European Journal of Operational Research
Journal: European Journal of Operational Research
Related Categories
90C15
65C05
Applied probability
Stochastic programming
Monte Carlo methods
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