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Convexity of chance constraints with independent random variables

Please always quote using this URN:urn:nbn:de:0296-matheon-3889
  • We investigate the convexity of chance constraints with independent random variables. It will be shown, how concavity properties of the mapping related to the decision vector have to be combined with a suitable property of decrease for the marginal densities in order to arrive at convexity of the feasible set for large enough probability levels. It turns out that the required decrease can be verified for most prominent density functions. The results are applied then, to derive convexity of linear chance constraints with normally distributed stochastic coefficients when assuming independence of the rows of the coefficient matrix.

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Metadaten
Author:Rene Henrion, Cyrille Strugarek
URN:urn:nbn:de:0296-matheon-3889
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2007/05/14
Release Date:2007/07/05
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:386
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