Generalized Differentiation of Probability Functions: Parameter Dependent Sets Given by Intersections of Convex Sets and Complements of Convex Sets

UOH Academic Repository

dc.contributor.author	van Ackooij, W
dc.contributor.author	Pérez-Aros, P
dc.date.accessioned	2024-01-17T15:54:34Z
dc.date.available	2024-01-17T15:54:34Z
dc.date.issued	2022
dc.identifier.uri	https://repositorio.uoh.cl/handle/611/550
dc.description.abstract	In this work we consider probability functions working on parameter dependent sets that are given as an intersection of convex sets and their complements. Such an underlying structure naturally arises when having to handle bilateral inequality systems in various applications, such as energy. We provide conditions under which the probability functions are sub-differentiable as well as a constraint qualification condition under which the probability function turns out to be smooth. Our analysis allows for (nearly) arbitrary distributions of random vectors.
dc.relation.uri	http://dx.doi.org/10.1007/s00245-022-09844-5
dc.subject	Probability functions
dc.subject	Sub-differentiability
dc.subject	Spherical radial-like decomposition
dc.title	Generalized Differentiation of Probability Functions: Parameter Dependent Sets Given by Intersections of Convex Sets and Complements of Convex Sets
dc.type	Artículo
uoh.revista	APPLIED MATHEMATICS AND OPTIMIZATION
dc.identifier.doi	10.1007/s00245-022-09844-5
dc.citation.volume	85
dc.citation.issue	1
dc.identifier.orcid	van Ackooij, Wim/0000-0002-9943-3572
dc.identifier.orcid	Perez-Aros, Pedro/0000-0002-8756-3011
uoh.indizacion	Web of Science