Abstract
We prove a result on the connectedness of (abstract) probabilistic constraints P(h(x,ζ)≤0)≥p without any assumption on the distribution of ζ. An application to storage level constraints is discussed briefly. Illustrating examples are provided and a simple criterion for the required condition is given in the case of linear h.
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Henrion, R. On the Connectedness of Probabilistic Constraint Sets. Journal of Optimization Theory and Applications 112, 657–663 (2002). https://doi.org/10.1023/A:1017976418636
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DOI: https://doi.org/10.1023/A:1017976418636