| 来源类型 | Monograph (IIASA Working Paper) |
| 规范类型 | 论文 |
| Differentiation Formula for Integrals over Sets Given by Inequalities. | |
| Uryasev SP | |
| 发表日期 | 1991 |
| 出版者 | IIASA, Laxenburg, Austria: WP-91-038 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | The investigation of a problem connected to probabilistic risk assessments for industrial plants led us to the need to optimize integrals calculated over sets that depend upon parameters. The problem was developed for two applications of tested and inspected components as an optimal control problem involving nonsmooth state transitions. In solving the optimization problem it is necessary to calculate the derivatives of an integral over a domain depending upon the parameters to be optimized. Up to date the theory of the differentiation these integrals is not fully developed. In the working paper a new general formula for differentiation of such integrals is proposed. These results were used for calculation of sensitivities for risk functions. This approach can have a wide application for the stochastic programming problems. |
| 主题 | Social & ; Environmental Dimensions of Technology (SET) |
| URL | http://pure.iiasa.ac.at/id/eprint/3527/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/123937 |
| 推荐引用方式 GB/T 7714 | Uryasev SP. Differentiation Formula for Integrals over Sets Given by Inequalities.. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WP-91-038.pdf（372KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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