Questions tagged [chance-constraints]

For questions on constraints over random variables that need to be satisfied with a given probability.

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9
votes
1answer
102 views

Static stochastic knapsack problem: unbounded version

In the static stochastic knapsack problem (SSKP) the weights $w_i$ of the items are distributed according to a probability distribution. Each item $i \in I$ can be selected at most once. So, ...
7
votes
2answers
172 views

Difference between Chance constraints and logical constraints

A logical constraint combines linear constraints using logical operators, such as logical-and, logical-or, negation (that is, not), conditional statements (that is, if ... then ...) to express complex ...
11
votes
2answers
95 views

How can I approximate a chance constraint in a computationally tractable way?

I want to solve an optimization model that contains a constraint like $$ \Pr[F(x,\xi)\leq0]\geq1-\varepsilon $$ where $x$ are my decision variables, $\xi$ is a random vector, and $\varepsilon\in(0,1)$ ...