Selected Topics in Chance-Constrained Programming

We consider chance-constrained programs in which the probability distribution of the random parameters is deterministic and known. Two prominent approaches to deal with these programs are sampling approximations and robust approximations. In the last decade, there has been enormous interest in both these areas of research. This article aims to provide a brief summary of a select number of publications pertaining to these approaches that have gained significant attention. We focus mainly on theoretical performance of proposed approximation schemes. ∗This report was submitted in partial fulfilment of the requirements for a graduate course in Stochastic Combinatorial Optimization.