Hi all,
Currently, I am trying to solve a chance-constrained programming (CCP) problem, i.e.
min𝑓(𝑥,𝜉), s.t. ℙ(𝑓𝑖(𝑥,𝜉) ≥ 𝛼𝑖 ) ≤ 𝜖𝑖, where 𝑖 = 1, 2, ⋯, 𝑚.
I am wondering are there any solvers, Python packages or implementation to chance-constrained optimization problem using the scenario approach.
Hello
In the following link you can find a detailed explanation on how to formulate your problem, and implement the solution using Python, libraries like scipy can be used, and Gurobi optimisation or Cplex can be used as a solver if needed in your model.
https://or.stackexchange.com/questions/216/how-can-i-approximate-a-chance-constraint-in-a-computationally-tractable-way/
a great resource on CCP, with examples: http://www.columbia.edu/~dano/talks/mich13.pdf
I wish this helps !
Dear Dr Mounir Bensalem
I greatly appreciate your answer, and it's very useful and helpful indeed!
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