On Learning for Ambiguous Chance Constrained Problems

A Ch Madhusudanarao, Rahul Singh

We study chance constrained optimization problems ${\min }_{x}f(x)$ s.t. $P(\left\{\theta :g(x,\theta )\le 0\right\})\ge 1-\epsilon$ where $\epsilon \in (0,1)$ is the violation probability, when the distribut…