Edgeworth series approximation for gamma type chance constraints

MaRDI QIDQ5325545zbMATH OpenFDO

Authors Mehmet Yilmaz

Publication date 10 August 2009

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)

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Cited in

(3)

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

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