Erdoğan, E.; Iyengar, G. - In: Mathematical Methods of Operations Research 65 (2007) 1, pp. 115-140
In this paper we develop approximation algorithms for two-stage convex chance constrained problems. Nemirovski and Shapiro (Probab Randomized Methods Des Uncertain 2004) formulated this class of problems and proposed an ellipsoid-like iterative algorithm for the special case where the impact...