One of the first appearances of the convex reformulation discussed in the previous section was in 1958 by Charnes, Cooper, and Symonds, subsequently studied by Prékopa (1970) and others. It now appears in standard texts on stochastic programming. The field of chance constraints is quite broad, and a discussion of formulations which are not implemented here is beyond the scope of this document.

The class of distributionally robust chance constraints considered is a special case of so-called robust second-order conic optimization. Tractability is discussed by Ben-Tal, El Ghaoui, and Nemirovski (2009). The particular model was proposed by Bienstock, Chertkov, and Harnett (2014) with application to control of power systems under uncertainty.

JuMPChance is being used in ongoing research projects and reports which are currently in preparation.

See also JuMPeR, a JuMP extension for robust optimization.