Eventual convexity of chance constrained feasible sets

DOI10.1080/02331934.2013.855211zbMath1321.49042OpenAlexW2070282563MaRDI QIDQ5248236

Wim van Ackooij

Publication date: 28 April 2015

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.855211

zbMATH Keywords

stochastic optimizationconvexityprobabilistic constraintcopulaechance-constrained-programmingjoint-chance-constraints

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Variants of convex sets (star-shaped, ((m, n))-convex, etc.) (52A30)

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Cites Work

• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Convexity of chance constraints with independent random variables
• On extensions of the Brunn-Minkowski and Prekopa-Leindler theorems, including inequalities for log concave functions, and with an application to the diffusion equation
• On optimal regulation of a storage level with application to the water level regulation of a lake
• Optimization of a continuous distillation process under random inflow rate.
• On Pólya frequency functions. I. The totally positive functions and their Laplace transforms
• A Stochastic Programming Model

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