WIAS Preprint No. 804, (2003)
Perturbation analysis of chance-constrained programs under variation of all constraint data
- Henrion, René
2010 Mathematics Subject Classification
- 90C15 90C31
- probabilistic constraints, chance constraints, stability, stochastic optimization
We consider stability of solutions to optimization problems with probabilistic constraints under perturbations of all constraint data (probability level, probability measure, deterministic constraints, random set mapping). Constraint qualifications ensuring stability are derived for each of the single parameters. Examples illustrating the necessity of the stated conditions as well as the limitations of the given results are provided.
- R. Henrion, Dynamic Stochastic Optimization, K. Marti, ed., vol. 532 of Lecture Notes in Economics and Mathematical Systems, Springer, Heidelberg, 2004, pp. 257--274