(SPEPS)
Springer Science + Business Media (Dordrecht [u.a.])
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | René Henrion, Weierstrass Institute for Applied Analysis and Stochastics | Title: | A note on the connectedness of chance constraints |
| Date of Acceptance: | 29.08.2000 |
| Submission Date: | 01.08.2000 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | chance constraints, Probabilistic constraints, connectedness, storage level constraints |
| Appeared in: |
Journal of optimization theory and applications 3 (Vol. 112, 2002)
Springer Science + Business Media (Dordrecht [u.a.]) |
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Endnote Bibtex |
| Abstract (eng): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| We prove a result on connectedness of (functional) chance constraints $ P(h(x) \ge g(\xi) \ge p$, where the decision variable $x$ belongs to a Banach space and $h$ is assumed to be strictly quasiconcave. The derived characterization completely relies on a constraint qualification for the mapping $h$. There are no assumptions on the distribution of $\xi$ involved. For the purpose of illustration, a generic application is briefly discussed. Limiting counter-examples are provided and a simple criterion for the constraint qualification to hold is given in case of linear $h$. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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