Convex Approximations of Chance Constrained Programs

@article{Nemirovski2006ConvexAO,
  title={Convex Approximations of Chance Constrained Programs},
  author={A. Nemirovski and A. Shapiro},
  journal={SIAM J. Optim.},
  year={2006},
  volume={17},
  pages={969-996}
}
We consider a chance constrained problem, where one seeks to minimize a convex objective over solutions satisfying, with a given close to one probability, a system of randomly perturbed convex constraints. This problem may happen to be computationally intractable; our goal is to build its computationally tractable approximation, i.e., an efficiently solvable deterministic optimization program with the feasible set contained in the chance constrained problem. We construct a general class of such… Expand
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