Convexity of Gaussian chance constraints and of related probability maximization problems

DOI10.1007/S00180-015-0580-ZMaRDI QIDQ736601zbMATH OpenOpenAlexFDO

Authors 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

Gaussian mixtureslinear discriminant analysischance constraintsconvexityjoint probability maximization

Mathematics Subject Classification ID

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

Recommendations

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• Eventual convexity of chance constrained feasible sets

Cites work

• scientific article; zbMATH DE number 3871040 (Why is no real title available?)
• scientific article; zbMATH DE number 729680 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 772850 (Why is no real title available?)
• 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
• Convexity of chance constraints with independent random variables
• Structural properties of linear probabilistic constraints

Cited in

(11)

• Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
• A discussion of probability functions and constraints from a variational perspective
• Convexity and optimization with copulæ structured probabilistic constraints
• Convexity of chance constrained programming problems with respect to a new generalized concavity notion
• On the convexity of level-sets of probability functions
• Relaxations and approximations of chance constraints under finite distributions
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• On the tightness of Gaussian concentration for convex functions
• Global probability maximization for a Gaussian bilateral inequality in polynomial time
• Eventual convexity of chance constrained feasible sets
• Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems

Describes a project that uses

Uses Software

• GQTPAR
• CVX

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