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Structural Properties of Linear Probabilistic Constraints

Please always quote using this URN:urn:nbn:de:0296-matheon-3183
  • The paper provides a structural analysis of the feasible set defined by linear probabilistic constraints. Emphasis is laid on single (individual) probabilistic constraints. A classical convexity result by Van de Panne/Popp and Kataoka is extended to a broader class of distributions and to more general functions of the decision vector. The range of probability levels for which convexity can be expected is exactly identified. Apart from convexity, also nontriviality and compactness of the feasible set are precisely characterized at the same time. The relation between feasible sets with negative and with nonnegative right-hand side is revealed. Finally, an existence result is formulated for the more difficult case of joint probabilistic constraints.

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Metadaten
Author:Rene Henrion
URN:urn:nbn:de:0296-matheon-3183
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2006/11/01
Release Date:2006/10/01
Tag:
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Preprint Number:306
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