A joint chance-constrained programming model with row dependence
The authors present a rather extensive survey of results concerning the individual and joint probabilistic constraints and suggest to transform the problem with a joint probabilistic constraint and random technology matrix with arbitrarily dependent multinormal coefficients into a problem of maximization the joint probability with respect to constraints. They discuss evaluation of this objective and of its gradient and report numerical results. Their survey of the relevant past results is not complete, e.g., they do not include any quotation of the related papers by \textit{A. Prékopa} [Math. Operationsforsch. Stat., Ser. Optimization 5, 109-116 (1974; Zbl 0302.90043)].
scientific article; zbMATH DE number 639285