A New Partial Sample Average Approximation Method for Chance Constrained Problems

In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) contains binary variables. Although our approach generates new chance constraints, we show that such constraints are easily tractable. Moreover, it is shown that PSAA has the same convergence properties as SAA. Finally, numerical experiments are conducted to compare the proposed approximation to SAA in order to show the strength of our new sample method.