JuMPChance.jl: JuMPChance 0.1.0
Miles Lubin · Zenodo (CERN European Organization for Nuclear Research) · 2015
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.