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A differentiation formula for integrals overseas given by inclusion |
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| Authors: | Stanislav Uryas'ev |
| Institution: | International Institute for Applied Systems Analysis , Austria |
| Abstract: | Formulae for differentiation with respect to the parameter of an integral over the set given by an inclusion are proposed. The case with bounded and unbounded set is discussed. Such formulae can be used for differentiation of probability functions. An algorithm for solving chance constrainted optimization problems is considered. |
| Keywords: | Hemivariational Inequalities Ky-Fan theorem Nonsmooth-ness Nonconvex Energy Functions A M S Classification: 49J40 A M S Classification:49J35 A M S Classification:49J52 A M S Classification:35J50 A M S Classification:35J85 |