JuMPChance — JuMP extensions for chance constraints¶
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.
- Installation Guide
- Quick Start Guide
- Solution methods and parameters
- Two-sided chance constraints