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Constraint Measures to Enable Event Constraints

Open pulsipher opened this issue 5 years ago • 1 comments

We can generalize our treatment of measures to allow constraint-like expressions as input to enable things like chance-constraints and exceedance probabilities, since all of these entities essentially implement a measure that operates on a constraint-like (i.e., threshold) condition.

Reformulation in these cases will typically involve expanding in-place and typically defining auxiliary constraints and variables (e.g., big-M constraints). This would be a useful feature for better enabling risk measures as well. Programmatically, the paradigm we'll might want to add on is tracking variables and/or constraints that are made by measures to prevent unnecessary duplication

pulsipher avatar Oct 06 '20 16:10 pulsipher

Using JuMP's indicator modeling might be sufficient here.

pulsipher avatar Jan 06 '22 22:01 pulsipher