{
  "id": "1507.01995",
  "version": "v1",
  "published": "2015-07-08T00:02:08.000Z",
  "updated": "2015-07-08T00:02:08.000Z",
  "title": "Two-sided linear chance constraints and extensions",
  "authors": [
    "Miles Lubin",
    "Daniel Bienstock",
    "Juan Pablo Vielma"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-07-08T00:02:08.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "extensions",
      "two-sided linear chance constraint model",
      "second-order conic outer approximation",
      "provably small approximation error",
      "nonlinear chance constraints"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}