Chance constrained programming

Chance Constrained Programming (CCP) is a mathematical optimization approach used to handle problems under uncertainty. It was first introduced by Charnes and Cooper in 1959 and further developed by Miller and Wagner in 1965.[1][2] CCP is widely used in various fields, including finance, engineering, and operations research, to optimize decision-making processes where certain constraints need to be satisfied with a specified probability.

  1. ^ Charnes, Abraham; Cooper, William W. (1959). "Chance-Constrained Programming". Management Science. 6 (1): 73–79. doi:10.1287/mnsc.6.1.73.
  2. ^ Miller, L. R.; Wagner, H. M. (1965). "Chance-constrained programming with joint constraints". Operations Research. 13 (6): 930–945. doi:10.1287/opre.13.6.930.