Letter to the Editor—On Stochastic Linear Approximation Problems

This paper considers the extension of the linear approximation problem minimize ‖ϵ‖ subject to AX + ϵ = b to the case where the elements of b are independent random variables with known distributions. This extension is accomplished by the use of chance constraints. An analysis of this stochastic problem shows that the problem can be solved by some of the powerful computational methods of approximation theory.