Data-driven chance constrained stochastic program

@article{Jiang2016DatadrivenCC,
  title={Data-driven chance constrained stochastic program},
  author={R. Jiang and Yongpei Guan},
  journal={Mathematical Programming},
  year={2016},
  volume={158},
  pages={291-327}
}
In this paper, we study data-driven chance constrained stochastic programs, or more specifically, stochastic programs with distributionally robust chance constraints (DCCs) in a data-driven setting to provide robust solutions for the classical chance constrained stochastic program facing ambiguous probability distributions of random parameters. We consider a family of density-based confidence sets based on a general $$\phi $$ϕ-divergence measure, and formulate DCC from the perspective of robust… Expand
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