Safe approximations of ambiguous chance constraints using historical data

INFORMS Journal on Computing

Volumn 25, Issue 4, 2013, Pages 666-681

  Yanikoǧlu, Ihsan ^a   Den Hertog, Dick ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

Chance constraint; Goodness of fit statistics; Phi divergence; Robust optimization

Indexed keywords

APPROXIMATION METHODS; CHANCE CONSTRAINT; GOODNESS-OF-FIT STATISTICS; HISTORICAL DATA; NONLINEAR INEQUALITY; PHI-DIVERGENCE; ROBUST OPTIMIZATION; UNCERTAIN PARAMETERS;

COMPUTER SCIENCE;

OPTIMIZATION;

EID: 84887561938     PISSN: 10919856     EISSN: 15265528     Source Type: Journal    
DOI: 10.1287/ijoc.1120.0529     Document Type: Article

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