Technical Note—A Class of Nonlinear Chance-Constrained Programming Models with Joint Constraints

R. Jagannathan and M. R. Rao
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R. Jagannathan: Columbia University, New York, New York
M. R. Rao: University of Rochester, Rochester, New York

Operations Research, 1973, vol. 21, issue 1, 360-364

Abstract: Miller and Wagner [ Opns. Res. 13, 930–945 (1965)] define joint chance-constrained programming by specifying a set of constants that are joint probability measures of the extent to which constraint violations are permitted. For the special case of a random right-hand-side vector whose elements are independent random variables, they show that an equivalent deterministic concave program exists. The purpose of this paper is to generalize this result to a class of nonlinear chance-constrained programming models with joint constraints.

Date: 1973
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