Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Mathematical Methods of Operations Research 71 (2010) 3, pp. 535-549
In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...
