JuMPChance — JuMP extensions for chance constraints

JuMPChance is an extension for JuMP. We assume that the reader is familiar with the syntax of JuMP, which is described in its documentation.

JuMPChance supports a particular class of chance constraints, namely those involving affine combinations of jointly normal random variables. Distributionally robust chance constraints are supported in the form of intervals on the mean and variance of the normally distributed random variables.

JuMPChance is research code and not officially supported as part of JuMP. JuMPChance is released under the terms of the LGPL license version 3:

JuMPChance is free software: you can redistribute it and/or modify
it under the terms of the GNU Lesser General Public License,
Version 3, as published by the Free Software Foundation.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

Contents

• Installation Guide
  • Getting JuMPChance
• Quick Start Guide
  • Creating a model
  • Defining variables
  • Chance constraints
  • Distributionally robust chance constraints
  • Solving the model
• Solution methods and parameters
  • Standard reformulation
  • Methods for distributionally robust constraints
  • solve parameters
• Two-sided chance constraints
  • Using two-sided constraints
• References