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Does anybody know how to define the below probability in GAMS?

 Z=P(x<y)

Thanks

Sepideh Gh
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1 Answers1

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You need to use the cumulative distribution function (CDF). To calculate P(x < y), simply input the value of y into the CDF. For example, the cumulative distribution function for a uniform distribution U(0,1) is f(x) = x. The probability P(x < 0.4) is f(0.4) = 0.4.

This works for more complex CDFs as well, as long as they can be expressed in GAMS.

Anton
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