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SPEPS Preprint

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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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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