Continuous Optimization

Gradient and Hessian of Joint Probability Function with Applications on Chance-Constrained Programs

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  • 1 Department of Economics and Finance and Department of Management Sciences, City University of Hong Kong, Hong Kong, China
    2 Department of Economics and Finance, City University of Hong Kong,Hong Kong, China

Online published: 2017-12-30

Supported by

This research was supported by the Hong Kong Research Grants Council (No. GRF 613213).

Abstract

Joint probability function refers to the probability function that requires multiple conditions to satisfy simultaneously. It appears naturally in chanceconstrained programs. In this paper, we derive closed-form expressions of the gradient and Hessian of joint probability functions and develop Monte Carlo estimators of them. We then design a Monte Carlo algorithm, based on these estimators, to solve chance-constrained programs. Our numerical study shows that the algorithm works well, especially only with the gradient estimators.

Cite this article

L. Jeff Hong, Guang-Xin Jiang . Gradient and Hessian of Joint Probability Function with Applications on Chance-Constrained Programs[J]. Journal of the Operations Research Society of China, 2017 , 5(4) : 431 -455 . DOI: 10.1007/s40305-017-0154-6

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