Article ID: | iaor20126095 |
Volume: | 200 |
Issue: | 1 |
Start Page Number: | 109 |
End Page Number: | 130 |
Publication Date: | Nov 2012 |
Journal: | Annals of Operations Research |
Authors: | Dentcheva Darinka, Martinez Gabriela |
Keywords: | probability, programming: probabilistic |
We analyze nonlinear stochastic optimization problems with probabilistic constraints described by continuously differentiable non‐convex functions. We describe the tangent and the normal cone to the level sets of the underlying probability function and provide new insight into their structure. Furthermore, we formulate fist order and second order conditions of optimality for these problems based on the notion of