Chance Constrained Programming

David L. Olson () and Desheng Wu ()
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David L. Olson: University of Nebraska
Desheng Wu: University of Toronto

Chapter Chapter 11 in Enterprise Risk Management Models, 2010, pp 143-157 from Springer

Abstract: Abstract Chance constrained programming was developed as a means of describing constraints in mathematical programming models in the form of probability levels of attainment. Consideration of chance constraints allows decision makers to consider mathematical programming objectives in terms of the probability of their attainment. If α is a predetermined confidence level desired by a decision maker, the implication is that a constraint will be violated at most (1–α) of all possible cases.

Keywords: Data Envelopment Analysis; Portfolio Selection; Expected Return; Linear Programming Model; Chance Constraint (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-11474-8_11

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DOI: 10.1007/978-3-642-11474-8_11

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