A critical note on empirical (Sample average, Monte Carlo) approximation of solutions to chance constrained programs

DOI10.1007/978-3-642-36062-6_3MaRDI QIDQ4927261zbMATH OpenOpenAlexFDO

Authors René Henrion

Publication date 19 June 2013

Published in IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-36062-6_3

zbMATH Keywords

chance constrained programmingconvergence of solution setsempirical approximationprobabilistic constraintssample average approximationsample size

Mathematics Subject Classification ID

Stochastic programming (90C15)

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