Browsing Stochastic Programming E-print Series (SPEPS) by Subject "probabilistic constraints"
Now showing items 1-6 of 6
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2013-05-14BuchA mixed-integer stochastic nonlinear optimization problem with joint probabilistic constraints We illustrate the solution of a mixed-integer stochastic nonlinear optimization problem in an application of power management. In this application, a coupled system consisting of a hydro power station and a wind farm is ...
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2012-02-20BuchGradient estimates for Gaussian distribution functions: Application to probabilistically constrained optimization problems We provide lower estimates for the norm of gradients of Gaussian distribution functions and apply the results obtained to a special class ofprobabilistically constrained optimization problems. In particular, it is shown ...
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2003-03-06BuchHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints We study perturbations of a stochastic program with a probabilistic constraint and $r$-concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder ...
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2005-04-26BuchLipschitz and differentiability properties of quasi-concave and singular normal distribution functions The paper provides a condition for differentiability as well as an equivalent criterion for Lipschitz continuity of singular normal distributions. Such distributions are of interest, for instance, in stochastic optimization ...
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2009-10-16BuchOn probabilistic constraints induced by rectangular sets and multivariate normal distributions In this paper, we consider optimization problems under probabilistic constraints which aredefined by two-sided inequalities for the underlying normally distributed random vector. Asa main step for an algorithmic solution ...
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2005-06-21BuchStructural Properties of Linear Probabilistic Constraints 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 ...