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Probability functions generated by set-valued mappings: a study of first order information
Wim van Ackooij, Pedro Pérez-Aros, Claudia Soto
Probability functions appear in constraints of many optimization problems in practice and have become quite popular. Understanding their first-order properties has proven useful, n…
A Quantization Procedure for Nonlinear Pricing with an Application to Electricity Markets
Quentin Jacquet, Wim van Ackooij, Clémence Alasseur +1
We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an…
Inner Moreau envelope of nonsmooth conic chance constrained optimization problems
Wim van Ackooij, Pedro Pérez-Aros, Claudia Soto +1
Optimization problems with uncertainty in the constraints occur in many applications. Particularly, probability functions present a natural form to deal with this situation. Nevert…