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<p>Chance constrained program is a widely used modeling approach in the optimization problems involving uncertain parameters, which requires the constraints be satisfied with high probability. When high uncertainty is involved and reliability is crucial in decision-making, chance constraint is much more appropriate in contrast to expectation constraint which cannot reflect decision makers’ attitude to undesirable constraints. However, except a few known tractable cases, solving chance constrained programs is in general difficult since the feasible set is not guaranteed to be convex. In this paper, we briefly review the development of numerical algorithms for chance constrained programs in recent years.</p>

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A Brief Review of Recent Advances on Chance Constrained Programs

  • 期刊论文

  • 发表日期：

    2025年8月18日

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  • Ya-Wen Cui,
  • Shao-Yan Guo,
  • Xiao Wang,
  • Xian-Tao Xiao

摘要

Chance constrained program is a widely used modeling approach in the optimization problems involving uncertain parameters, which requires the constraints be satisfied with high probability. When high uncertainty is involved and reliability is crucial in decision-making, chance constraint is much more appropriate in contrast to expectation constraint which cannot reflect decision makers’ attitude to undesirable constraints. However, except a few known tractable cases, solving chance constrained programs is in general difficult since the feasible set is not guaranteed to be convex. In this paper, we briefly review the development of numerical algorithms for chance constrained programs in recent years.