Gradients and subgradients of buffered failure probability

17 USC 105 interim-entered record; under review.The article of record as published may be found at http://dx.doi.org/10.1016/j.orl.2021.10.004Gradients and subgradients are central to optimization and sensitivity analysis of buffered failure probabilities. We furnish a characterization of subgradients based on subdifferential calculus in the case of finite probability distributions and, under additional assumptions, also a gradient expression for general distributions. Several examples illustrate the application of the results, especially in the context of optimality conditions.Office of Naval ResearchAir Force Office of Scientific Research18RT0599MIPR N0001421WX0149