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SPEPS Preprint

Author(s): René Henrion, Weierstrass Institute
Title: Structural Properties of Linear Probabilistic Constraints
Date of Acceptance: 21.06.2005
Submission Date: 08.04.2005
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10059885)
ps (urn:nbn:de:kobv:11-10059898)
Keywords (eng): stochastic programming, probabilistic constraints, chance constraints, stochastic optimization
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Abstract (eng):
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 Panna/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 the feasible set are precisely characterized at the same time. The relation between feasible sets with negative and with nonnegative right-hand side is revealed. Finally, an existence result is formulated for the more difficult case of joint probabilistic constraints.
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