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Approximations for chance-constrained programming problems |
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| Abstract: | This paper proposes an approximation approach to the solution of chance-constrained stochastic programming problems. The results rely in a fundamental way on the theory of convergence of sequences of measurable multifunctions. Particular results are presented for stochastic linear programming problems. |
| Keywords: | Martingale problem unbounded coefficients continuous dependence compact-open topology weak convergence |