Stochastic programming

Answered

Sutanu Majumdar

• January 23, 2020 20:05

Hi,

Is Gurobi able to solve chance constrained problems?  i understand Gurobi can solve 2 stage stochastic problems with deterministic equivalents but any example of chance constraint solution will help.

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  Eli Towle

  Gurobi Staff

  • January 24, 2020 00:04

  Hi Sutanu,

  You would have to use a deterministic formulation of the chance-constrained problem in order for Gurobi to be able to solve it (assuming this formulation is in the class of problems that Gurobi can solve). Thanks!

  Eli

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