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Derivatives of Probability Measures

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Encyclopedia of Optimization

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Keywords

Direct Differentiability

Inverse Differentiability

Simulation of Derivatives

  Process Derivatives

  Distributional Derivatives

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References

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References

  1. Glasserman P (1991) Gradient estimation via perturbation analysis. Kluwer, Dordrecht

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  2. Ho YC, Cao X (1983) Perturbation analysis and optimization of queueing networks. J Optim Th Appl 20:559–589

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  3. Pflug GC (1996) Optimization of stochastic models. Kluwer, Dordrecht

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  4. Rubinstein RY, Shapiro A (1993) Discrete event systems: Sensitivity analysis and stochastic optimization by the score function method. Wiley, New York

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Author information

Authors and Affiliations

  1. University Vienna, Vienna, Austria

    Georg Pflug

Authors
  1. Georg Pflug
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Editor information

Editors and Affiliations

  1. Department of Chemical Engineering, Princeton University, Princeton, NJ, 08544-5263, USA

    Christodoulos A. Floudas

  2. Center for Applied Optimization, Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL, 32611-6595, USA

    Panos M. Pardalos

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© 2008 Springer-Verlag

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Pflug, G. (2008). Derivatives of Probability Measures . In: Floudas, C., Pardalos, P. (eds) Encyclopedia of Optimization. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-74759-0_120

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