In this paper, we consider chance constrained programming (CCP) technique when at least two of the LHS input coefficients are random with two-parameter exponential distribution.
Two approaches are introduced to transform CCP into deterministic: (i) approach 1 assumes independence between exponential input coefficients and (ii)approach 2 assumes that random input coefficients are dependent with correlation coefficient ρ.
Approach 1 for independence is an extension of Biswal's approach deals with m independent two – parameter exponential input coefficients instead of single-parameter ones. Approach 2 of dependence uses Downton bivariate exponential (DBE) distribution under two cases; the first introduced case assumes that dependent input coefficients have single-parameter exponential marginals and the second introduced case is an extension of DBE distribution for two-parameter exponentials.
It was shown that the equivalent deterministic transformation of the extension of approach 2 is a generalization of both approach 1 for m=2 when ρ=0 and first case of approach 2 for single parameter exponential marginal when the second parameter is zero
Hafez, N., El-Dash, A., Albehery, N. (2017). 'Chance Constrained Programming with Exponential Input Coefficients', The Egyptian Statistical Journal, 61(1), pp. 41-57. doi: 10.21608/esju.2017.270058
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Hafez, N., El-Dash, A., Albehery, N. Chance Constrained Programming with Exponential Input Coefficients. The Egyptian Statistical Journal, 2017; 61(1): 41-57. doi: 10.21608/esju.2017.270058