Mathematical programming problems having parameters as gamma random variables in chance constraints

Abstract

In this paper we have discussed a transformation procedure of the chance constraints, to arrive at the deterministic constraints, for mathematical programming problem having parameters as Gamma random variables in chance constraints. We have used geometric inequality and some other inequalities for this transformation. We solved, the transformed deterministic problem having non-linear constraints, using generic package LINGO 10 and verified the solution using MATLAB 7.6.