Probability Constraints

Wim Stefanus Ackooij and Welington Luis de Oliveira
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Wim Stefanus Ackooij: Électricité de France (EDF R&D)
Welington Luis de Oliveira: Mines Paris - PSL

Chapter Chapter 8 in Methods of Nonsmooth Optimization in Stochastic Programming, 2025, pp 217-255 from Springer

Abstract: Abstract In this chapter, we account for some structural properties of probability functions and feasible sets issued by probability constraints. Knowledge of these properties is helpful in numerical algorithms and can be exploited therein. In particular, we discuss differentiability and (eventual) convexity of feasible sets issued by probability constraints.

Keywords: Chance-constrained programming; (Sub)differentiability; Eventual convexity (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-031-84837-7_8

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DOI: 10.1007/978-3-031-84837-7_8

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