Abstract
In this paper, we show the continuity of the feasibility set with respect to the reliability levels and with respect to the distribution of the random elements of a stochastic program with probabilistic constraints. Continuity is then used to obtain stability results for this type of stochastic program. An easy criterion is given for checking the conditions which guarantee the continuity of the feasibility set.
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Communicated by E. Polak
The author wishes to thank Professor R. Wets for his comments.
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Wang, J. Continuity of the feasible solution sets of probabilistic constrained programs. J Optim Theory Appl 63, 79–89 (1989). https://doi.org/10.1007/BF00940733
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DOI: https://doi.org/10.1007/BF00940733