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arXiv · 2511.06556

A generalisation of the chance-constrained Charnes-Cooper approach

José A. Díaz-García·Francisco J. Caro-Lopra
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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.

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José A. Díaz-García, Francisco J. Caro-Lopra. 2025-11-09. A generalisation of the chance-constrained Charnes-Cooper approach. https://arxiv.org/abs/2511.06556

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