A modified sample approximation approach for chance-constrained problems
Résumé
In this talk, we present a new scheme of a sampling method to solve chance-constrained programs. First of all, a modified sample approximation approach is presented. With the modified sample approximation approach, despite that other chance constraints arise, the corresponding problem has no binary variable whereas there are binary variables based on the traditional sample approximation approach (SAA). Second, we show that, for the new chance constraints, it is easy to handle these chance constraints in some cases. Finally, numerical experiments are conducted to compare the proposed approximation to SAA in order to show the strength of the new sample method.