Eventual convexity for separable chance constraints with skewed generalized hyperbolic random variables

Source abstract

Chance constraints are widely used in optimization under uncertainty. This paper aims to show the eventual convexity (EV) of chance constraints with skewed generalized hyperbolic (GH) random variables. We prove that the densities of GH distributions are $α$-decreasing, and obtain exact convex reformulations for separable jointly chance constraints with GH distributions. We provide numerical results to compute the $α$-decreasing threshold parameters and show the EV of the feasible set together with the computational tractability to solve the associated optimization problems.