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Published January 4, 2015 | Version v0.1.0
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JuMPChance.jl: JuMPChance 0.1.0

Authors/Creators

  • 1. Massachusetts Institute of Technology

Description

A JuMP modeling extension for probabilistic (chance) constraints involving an affine combination of decision variables and normally-distributed random variables. Supports reformulation to second-order conic form as well as outer-approximation by a sequence of linear tangents. Includes an extension for distributional robustness.

Files

JuMPChance.jl-v0.1.0.zip

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Additional details

Related works

Is supplement to
https://github.com/mlubin/JuMPChance.jl/tree/v0.1.0 (URL)