Gradients and Subgradients of Buffered Failure Probability

09/12/2021

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by   Johannes O. Royset, et al.

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10

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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.