Title of article
Edgeworth Series Approximation for Gamma Type Chance Constraints
Author/Authors
Yılmaz, Mehmet Ankara Üniversitesi - Faculty of Science - Statistics Department, Turkey
From page
75
To page
84
Abstract
We introduce two expansions for approximation to distribution of sum of weighted Gamma variates based on Central Limit Theorem. For more than two weighted components, the exact distribution is more complicate for some application areas like chance constrained programming. This lead us to give two expansions to transform Gamma type chance constrained stochastic model into its deterministic equivalent.
Keywords
Gamma distribution , edgeworth expansion , central limit theorem , chance constrained programming , stochastic programming
Journal title
Selcuk Journal of Applied Mathematics
Journal title
Selcuk Journal of Applied Mathematics
Record number
2551837
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