Convexity of elliptically distributed dependent chance constraints
Résumé
In this paper, we study the problem of linear optimization with probabilistic constraints. We suppose that the constraint row vectors are elliptically distributed. Further, the dependence of the rows is modeled by a family of Archimedean copulas, namely, the Gumbel-Hougaard family of copulas. Under mild assumptions, we prove the eventual convexity of the feasibility set.
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