Technical Note—A Simple Concavity Condition for a Class of Chance-Constrained Programming Problems with Joint Constraints

Published Online:https://doi.org/10.1287/opre.24.2.378

We obtain a simple sufficient condition for concavity for a class of chance-constrained programming problems with joint constraints that holds for most probability distributions of interest. Our result implies that for this class of chance-constrained problems, a global optimum can be obtained by using any one of several available concave programming algorithms.

INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.