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Nicole Lorenz, Gert Wanka: The Subdifferential of Convex Deviation Measures and Risk Functions

Nicole Lorenz, Gert Wanka: The Subdifferential of Convex Deviation Measures and Risk Functions

Author(s):
Nicole Lorenz
Gert Wanka
Title:
Nicole Lorenz, Gert Wanka: The Subdifferential of Convex Deviation Measures and Risk Functions
Electronic source:
application/pdf
Preprint series:
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 01, 2012
Mathematics Subject Classification:
46N10 []
49N15 []
Abstract:
In this paper we give subdifferential formulas of some convex deviation measures using their conjugate functions and theorems that give the subdifferential of a composition of two functions. Further, we derive other formulas according to a paper of Ruszczyski and Shapiro and the subdifferential of some risk functions.
Keywords:
Subdifferentials, conjugate functions, deviation measures, risk functions
Language:
English
Publication time:
01/2012