EDGEWORTH SERIES APPROXIMATION FOR CHI-SQUARE TYPE CHANCE CONSTRAINTS

Authors : Mehmet YILMAZ

Pages : 27-37

Doi:10.1501/Commua1_0000000191

View : 8 | Download : 8

Publication Date : 2007-08-01

Article Type : Research Paper

Abstract :We introduce two methods for approximation to distribution ofweighted sum of chi-square random variables. These methods can be more useful than the known methods in literature to transform chi-square type chanceconstrained programming insert ignore into journalissuearticles values(CCP); problem into deterministic problem. Therefore, these are compared with Sengupta insert ignore into journalissuearticles values(1970);’s method. Some examples areillustrated for the purpose of comparing the solutions of these methods
Keywords : weighted sum of chi square random variables, expansion for distributions, chance constrained stochastic model