A differentiation formula for integrals overseas given by inclusion
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Numerical Functional Analysis and Optimization
- Vol. 10 (7) , 827-841
- https://doi.org/10.1080/01630568908816332
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
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