Publications Details
Approximating Joint Chance Constraints in Two-Stage Stochastic Programs
We present various approximations to joint chance constraints arising in two-stage stochastic programming models. Our approximations are derived from three classical inequalities: Markov's inequality, Chebysev's inequality, and Chernoff's bound. We provide preliminary computational results illustrating the quality of our approximation using a two-stage joint-chance-constrained stochastic program from the literature. We also briefly introduce other alternatives for constructing approximations for joint-chance-constrained two-stage programs.