Approximating two-stage chance-constrained programs with classical probability bounds

Author:

Singh BismarkORCID,Watson Jean-Paul

Funder

Sandia National Laboratories

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization

Reference27 articles.

1. Ahmed, S., Shapiro, A.: Solving chance-constrained stochastic programs via sampling and integer programming. Tutor. Oper. Res. 10, 261–269 (2008)

2. Bonferroni, C.: Teoria statistica delle classi e calcolo delle probabilita. Pubblicazioni del R Istituto Superiore di Scienze Economiche e Commericiali di Firenze 8, 3–62 (1936)

3. Boros, E., Prekopa, A.: Closed form two-sided bounds for probabilities that at least $$r$$ and exactly $$r$$ out of $$n$$ events occur. Math. Oper. Res. 14(2), 317–342 (1989)

4. Brook, A., Kendrick, D., Meeraus, A.: GAMS, a user’s guide (1988)

5. Charnes, A., Cooper, W.W.: Chance-constrained programming. Manag. Sci. 6(1), 73–79 (1959)

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