Structural properties of linear probabilistic constraints

被引:46
作者
Henrion, R. [1 ]
机构
[1] Karl Weierstrass Inst Math, D-10117 Berlin, Germany
关键词
probabilistic constraints; stochastic programming; chance constraints; Stochastic optimization; PROGRAMS;
D O I
10.1080/02331930701421046
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
The article 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 Panne/ Popp and Kataoka is extended to a broader class of distributions and to more general functions of the decision vector. The range of probability levels for which convexity can be expected is exactly identified. Apart from convexity, also nontriviality and compactness of the feasible set are precisely characterized at the same time. The relation between feasible sets with negative and with nonnegative right-hand side is revealed. Finally, an existence result is formulated for the more difficult case of joint probabilistic constraints.
引用
收藏
页码:425 / 440
页数:16
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