Title: Robust counterpart approximations of scalar chance constraints
|Affiliation:||University of waterloo|
We will cover section 2.1, section 2.2 and part of section 2.3 of the book Robust Optimization by Ben-Tal et al. Given a non-deterministic linear inequality and its uncertainty set, there is a chance that coefficients of the non-deterministic linear inequality can be determined outside of the uncertainty set with a very small probability. We will introduce basic notions of chance constraints, its difficulties as well as its strengths.
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