chance constraint
Posted: Wed Jul 31, 2019 10:03 am
can Cplex solver solve a chance constraint in stochastic modeling?
Hi,
You might want to have a look at the stochastic Programming features of the EMP framework that allow users to model various stochastic problems as deterministic models, while information about the stochastic structure of the problem is specified in annotations. https://www.gams.com/latest/docs/UG_EMP_SP.html
EMP reformulates the Stochastic Program, such that the resulting problem can be solved with solvers linked with GAMS like CPLEX.
Note that there is a dedicated section about chance constraints: https://www.gams.com/latest/docs/UG_EMP ... onstraints
I hope this helps!
Fred