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On Accurate Linear Approximations for Chance-Constrained Programming

✍ Scribed by Yrjö Seppälä

Book ID
125573356
Publisher
Palgrave Publishers Ltd.
Year
1988
Tongue
English
Weight
106 KB
Volume
39
Category
Article
ISSN
0160-5682

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We consider a chance constrained problem, where one seeks to minimize a convex objective over solutions satisfying, with a given close to one probability, a system of randomly perturbed convex constraints. This problem may happen to be computationally intractable; our goal is to build its computatio