Abstract
We investigate the convexity of chance constraints with independent random variables. It will be shown, how concavity properties of the mapping related to the decision vector have to be combined with a suitable property of decrease for the marginal densities in order to arrive at convexity of the feasible set for large enough probability levels. It turns out that the required decrease can be verified for most prominent density functions. The results are applied then, to derive convexity of linear chance constraints with normally distributed stochastic coefficients when assuming independence of the rows of the coefficient matrix.
Similar content being viewed by others
References
Bawa, V.S.: On chance-constrained programming problems with joint constraints. Manag. Sci. 19, 1326–1331 (1973)
Borell, C.: Convex set functions in d-space. Period. Math. Hung. 6, 111–136 (1975)
Burkauskas, A.: On the convexity problem of probabilistic constrained stochastic programming problems. Alkalmz. Mat. Lapok 12, 77–90 (1986) (in Hungarian)
Gröwe, N.: Estimated stochastic programs with chance constraints. Eur. J. Oper. Res. 101, 285–305 (1997)
Henrion, R.: Structural properties of linear probabilistic constraints. Optimization 56, 425–440 (2007)
Kataoka, S.: A stochastic programming model. Econometrica 31, 181–196 (1963)
Miller, B.L., Wagner, H.M.: Chance constrained programming with joint constraints. Oper. Res. 13, 930–945 (1965)
Prékopa, A.: Programming under probabilistic constraints with a random technology matrix. Optimization 5, 109–116 (1974)
Prékopa, A.: Stochastic Programming. Kluwer, Dordrecht (1995)
Prékopa, A.: Probabilistic programming. In: Ruszczynski, A., Shapiro, A. (eds.) Stochastic Programming, Chapter V. Handbooks in Operations Research and Management Science, vol. 10. Elsevier, Amsterdam (2003)
Van de Panne, C., Popp, W.: Minimum-cost cattle feed under probabilistic protein constraints. Manag. Sci. 9, 405–430 (1963)
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Henrion, R., Strugarek, C. Convexity of chance constraints with independent random variables. Comput Optim Appl 41, 263–276 (2008). https://doi.org/10.1007/s10589-007-9105-1
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10589-007-9105-1