Title of article :
Edgeworth Series Approximation for Gamma Type Chance Constraints
Author/Authors :
Yılmaz, Mehmet Ankara Üniversitesi - Faculty of Science - Statistics Department, Turkey
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