Convexity of Gaussian chance constraints and of related probability maximization problems

DOI10.1007/s00180-015-0580-zzbMath1342.65051OpenAlexW2046340894MaRDI QIDQ736601

Michel Minoux, Riadh Zorgati

Publication date: 4 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0580-z

zbMATH Keywords

convexityGaussian mixtureschance constraintslinear discriminant analysisjoint probability maximization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (4)

A discussion of probability functions and constraints from a variational perspective ⋮ Global probability maximization for a Gaussian bilateral inequality in polynomial time ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems

Uses Software

• CVX
• GQTPAR

Cites Work

• Convexity of chance constraints with independent random variables
• A unified approach to global convergence of trust region methods for nonsmooth optimization
• Chance-Constrained Programming
• Computing a Trust Region Step
• Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
• Structural properties of linear probabilistic constraints
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