Convex Approximations of Chance Constrained Programs
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Publication:5426893
DOI10.1137/050622328zbMath1126.90056OpenAlexW2099506495WikidataQ57392918 ScholiaQ57392918MaRDI QIDQ5426893
Alexander Shapiro, Arkadi Nemirovski
Publication date: 16 November 2007
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/73fcc81a0698b391decc0799ea9cb2ff34632e9a
stochastic programmingconvex programmingMonte Carlo samplingchance constraintsscenario generationlarge deviation boundsambiguous chance constrained programming
Convex programming (90C25) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
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