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

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  • V. S. Bawa

    (Bell Laboratories, Holmdel, New Jersey)

Abstract

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.

Suggested Citation

  • V. S. Bawa, 1976. "Technical Note—A Simple Concavity Condition for a Class of Chance-Constrained Programming Problems with Joint Constraints," Operations Research, INFORMS, vol. 24(2), pages 378-380, April.
    • Handle: RePEc:inm:oropre:v:24:y:1976:i:2:p:378-380
    DOI: 10.1287/opre.24.2.378
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