Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
A review of the techniques for stochastic programming problems with normal random variables involved into an objective function and into the constraints is presented. Problems with nonnormal random variables are also discussed. The deterministic equivalent is derived for a two- dimensional linear chance-constrained problem with uniform distribution of the parameters. A numerical example is presented.
two-dimensional linear chance-constrained problem
scientific article; zbMATH DE number 4025162
scientific article