Structural properties of linear probabilistic constraints
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1089 | |
dc.contributor.author | Henrion, Rene | |
dc.date.accessioned | 2016-12-16T22:47:10Z | |
dc.date.available | 2019-06-28T08:20:16Z | |
dc.date.issued | 2006 | |
dc.description.abstract | 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 thefeasible set are precisely characterized at the same time. The relation between feasible sets with negative and nonnegative right-hand side is revealed. Finally, an existence result is formulated for the more difficult case of joint probabilistic constraints. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3286 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3245 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | probabilistic constraints | eng |
dc.subject.other | stochastic programming | eng |
dc.subject.other | chance constraints | eng |
dc.subject.other | stochastic optimization | eng |
dc.title | Structural properties of linear probabilistic constraints | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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