  We study chance constrained optimization problems $\min_x f(x)$ s.t.
$P(\left\{ \theta: g(x,\theta)\le 0 \right\})\ge 1-\epsilon$ where $\epsilon\in
(0,1)$ is the violation probability, when the distribution $P$ is not known to
the decision maker (DM). When the DM has access to a set of distributions
$\mathcal{U}$ such that $P$ is contained in $\mathcal{U}$, then the problem is
known as the ambiguous chance-constrained problem \cite{erdougan2006ambiguous}.
We study ambiguous chance-constrained problem for the case when $\mathcal{U}$
is of the form $\left\{\mu:\frac{\mu (y)}{\nu(y)}\leq C, \forall y\in\Theta,
\mu(y)\ge 0\right\}$, where $\nu$ is a ``reference distribution.'' We show that
in this case the original problem can be ``well-approximated'' by a sampled
problem in which $N$ i.i.d. samples of $\theta$ are drawn from $\nu$, and the
original constraint is replaced with $g(x,\theta_i)\le 0,~i=1,2,\ldots,N$. We
also derive the sample complexity associated with this approximation, i.e., for
$\epsilon,\delta>0$ the number of samples which must be drawn from $\nu$ so
that with a probability greater than $1-\delta$ (over the randomness of $\nu$),
the solution obtained by solving the sampled program yields an
$\epsilon$-feasible solution for the original chance constrained problem.
