# Questions tagged [chance-constraints]

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

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### 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 $\varepsilon\in(0,1)$ ...
173 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, ...
309 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 ...
123 views

### Software for multi-objective optimization

I am looking to solve a multi-objective chance-constrained blending problem. Are there any suggestions about the software to use to try and solve a problem like this?
94 views

### Chance constrained optimization - interpretation

Suppose that we have a stochastic vector $\psi$ and $S$ realisations of $\psi$ given by $\psi_1,\dots,\psi_S$ with equal probability of occurrence. In addition, we have constraints of the form \begin{...
256 views

### Decomposition methods for two-stage stochastic program with integer variables

In a stochastic programming problem, I have binary variables in the second stage. As an example, consider that the optimization problem is given by: \begin{align} &\text{minimize} &\gamma\\ &...