Safe Approximations of Chance Constraints Using Historical Data

I. Yanikoglu and Dick Den Hertog
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I. Yanikoglu: Tilburg University, Center For Economic Research

No 2011-137, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: robust optimization; chance constraint; phi-divergence; goodness-of-fit statistics (search for similar items in EconPapers)
Date: 2011
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