Technical Note—A Simple Concavity Condition for a Class of Chance-Constrained Programming Problems with Joint Constraints

V. S. Bawa
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V. S. Bawa: Bell Laboratories, Holmdel, New Jersey

Operations Research, 1976, vol. 24, issue 2, 378-380

Abstract: We obtain a simple sufficient condition for concavity for a class of chance-constrained programming problems with joint constraints that holds for most probability distributions of interest. Our result implies that for this class of chance-constrained problems, a global optimum can be obtained by using any one of several available concave programming algorithms.

Date: 1976
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