Gradient and Hessian of Joint Probability Function with Applications on Chance-Constrained Programs
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DOI: 10.1007/s40305-017-0154-6
Abstract: Joint probability function refers to the probability function that requires multiple conditions to satisfy simultaneously. It appears naturally in chance-constrained programs. In this paper, we derive closed-form expressions of the gradient and Hessian of joint… read more here.
Keywords: probability; chance constrained; joint probability; probability function ... See more keywords