Two-sided linear chance constraints and extensions

Miles Lubin, Daniel Bienstock, Juan Pablo Vielma

Published 2015-07-08Version 1

We examine the convexity and tractability of the two-sided linear chance constraint model under Gaussian uncertainty. These constraints can be applied directly to model a larger class of nonlinear chance constraints. The two-sided constraints can be handled directly within derivative-based nonlinear solvers via a perspective formulation. In addition, we provide a second-order conic outer approximation with provably small approximation error.