TY  - JOUR
A1  - Gonzalez Grandon, Tatiana
A1  - Henrion, Rene
A1  - Perez-Aros, Pedro
T1  - Dynamic probabilistic constraints under continuous random distributions
N2  - In this paper we address novel results on the theoretical structural analysis of dynamic joint probabilistic constraints under continuous random variables. This dynamic probabilistic function is important when decisions are time-dependent and when the modeler can react on past observations. We first study the continuity of dynamic probabilistic constraints and provide strong and weak semi-continuous results depending on whether the policies are supposed to be in the L^p or W^{1,p} spaces. Moreover, we prove the non-convexity of the feasible set of decisions induced by a dynamic probability function in the L^p space. Lastly, for a simple two-stage model, verifiable conditions for Lipschitz continuity and differentiability of this probability function are derived and endowed with explicit derivative formulae.
Y1  - 2019
UR  - https://opus4.kobv.de/opus4-trr154/frontdoor/index/index/docId/254
ER  -