Article ID: | iaor19952270 |
Country: | Switzerland |
Volume: | 56 |
Issue: | 1 |
Start Page Number: | 287 |
End Page Number: | 311 |
Publication Date: | Jun 1995 |
Journal: | Annals of Operations Research |
Authors: | Uryasev Stanislav |
Probability functions depending upon parameters are represented as integrals over sets given by inequalities. New derivative formulas for the integrals over a volume are considered. Derivatives are presented as sums of integrals over a volume and over a surface. Two examples are discussed: probability functions with linear constraints (random right-hand sides), and a dynamical shut-down problem with sensors.