24 February 2021 2 8K Report

Hi all,

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

min𝑓(π‘₯,πœ‰), s.t.  β„™(𝑓𝑖(π‘₯,πœ‰) β‰₯ 𝛼𝑖 ) ≀ πœ–π‘–, where π‘– = 1, 2, β‹―, π‘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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