On the Connectedness of Probabilistic Constraint Sets

R. Henrion
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R. Henrion: Weierstrass Institute for Applied Analysis and Stochastics

Journal of Optimization Theory and Applications, 2002, vol. 112, issue 3, No 11, 657-663

Abstract: Abstract We prove a result on the connectedness of (abstract) probabilistic constraints P(h(x,ζ)≤0)≥p without any assumption on the distribution of ζ. An application to storage level constraints is discussed briefly. Illustrating examples are provided and a simple criterion for the required condition is given in the case of linear h.

Keywords: Probabilistic constraints; chance constraints; connectedness; storage level constraints (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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DOI: 10.1023/A:1017976418636

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