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|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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||chance constraints, Probabilistic constraints, connectedness, storage level constraints|
Journal of optimization theory and applications 3 (Vol. 112, 2002)
Springer Science + Business Media (Dordrecht [u.a.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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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