A generalisation of the chance-constrained Charnes-Cooper approach
Probability
2025-11-11 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2511.06556,
title = {A generalisation of the chance-constrained Charnes-Cooper approach},
author = {José A. Díaz-García and Francisco J. Caro-Lopra},
journal= {arXiv preprint arXiv:2511.06556},
year = {2025}
}
Comments
24 pages