Easy distributions for combinatorial optimization problems with probabilistic constraints

SCOPUS: ar.j; International audience; We show how we can linearize individual probabilistic linear constraints with binary variables when all coefficients are independently distributed according to either N(μi,λμi), for some λ>0 and μi>0, or Γ(ki,θ) for some θ>0 and ki>0. The constraint can also be linearized when the coefficients are independent and identically distributed and either positive or strictly stable random variables. © 2010 Elsevier B.V. All rights reserved.