Royset, J. O. and Byun, J.-E. (2021) Gradients and subgradients of buffered failure probability. Operations Research Letters, 49(6), pp. 868-873. (doi: 10.1016/j.orl.2021.10.004)
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Abstract
Gradients and subgradients are central to optimization and sensitivity analysis of buffered failure probabilities. We furnish a characterization of subgradients based on subdifferential calculus in the case of finite probability distributions and, under additional assumptions, also a gradient expression for general distributions. Several examples illustrate the application of the results, especially in the context of optimality conditions.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Byun, Dr Ji-Eun |
| Authors: | Royset, J. O., and Byun, J.-E. |
| College/School: | College of Science and Engineering > School of Engineering > Infrastructure and Environment |
| Journal Name: | Operations Research Letters |
| Publisher: | Elsevier |
| ISSN: | 0167-6377 |
| ISSN (Online): | 1872-7468 |
| Published Online: | 27 October 2021 |
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