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arXiv · 1507.01995

Two-sided linear chance constraints and extensions

Miles Lubin·Daniel Bienstock·Juan Pablo Vielma
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Abstract

We examine the convexity and tractability of the two-sided linear chance constraint model under Gaussian uncertainty. We show that these constraints can be applied directly to model a larger class of nonlinear chance constraints as well as provide a reasonable approximation for a challenging class of quadratic chance constraints of direct interest for applications in power systems. With a view towards practical computations, we develop a second-order cone outer approximation of the two-sided chance constraint with provably small approximation error.

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Miles Lubin, Daniel Bienstock, Juan Pablo Vielma. 2015-07-08. Two-sided linear chance constraints and extensions. https://arxiv.org/abs/1507.01995

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