24 February 2021 2 8K Report

Hi all,

Currently, I am trying to solve a chance-constrained programming (CCP) problem, i.e.

min๐‘“(๐‘ฅ,๐œ‰),ย s.t. ย โ„™(๐‘“๐‘–(๐‘ฅ,๐œ‰) โ‰ฅ ๐›ผ๐‘– ) โ‰ค ๐œ–๐‘–,ย whereย ๐‘– = 1, 2, โ‹ฏ, ๐‘š.

I am wondering are there any solvers, Python packages or implementation to chance-constrained optimization problem using the scenario approach.

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