A generalisation of the chance-constrained Charnes-Cooper approach
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866917070333018112 |
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| author | Díaz-García, José A. Caro-Lopra, Francisco J. |
| author_facet | Díaz-García, José A. Caro-Lopra, Francisco J. |
| contents | A generalisation of the Charnes-Cooper chance-constrained approach is proposed in the setting of the family of elliptically contoured distributions. The new relaxed stochastic linear programming is notably invariant under the entire class of probability distributions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_06556 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A generalisation of the chance-constrained Charnes-Cooper approach Díaz-García, José A. Caro-Lopra, Francisco J. Probability 90C05, 90C15, 90B36 A generalisation of the Charnes-Cooper chance-constrained approach is proposed in the setting of the family of elliptically contoured distributions. The new relaxed stochastic linear programming is notably invariant under the entire class of probability distributions. |
| title | A generalisation of the chance-constrained Charnes-Cooper approach |
| topic | Probability 90C05, 90C15, 90B36 |
| url | https://arxiv.org/abs/2511.06556 |