Edgeworth series approximation for gamma type chance constraints

zbMATH Open1180.60015MaRDI QIDQ5325545FDOQ5325545

Authors: Mehmet Yilmaz 

Publication date: 10 August 2009

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zbMATH Keywords

central limit theoremEdgeworth expansionstochastic programmingchance constrained programmingGamma distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Stochastic programming (90C15)

Cited In (2)

• Edgeworth series approximation for chi-square type chance constraints
• Change-constrained stochastic programming problem with normal, t and skew normal, skew t distributions

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