Description
Simple chance constraint model from Lindo manual Reference: LINDO API 7.0 User Manual
Small Model of Type : SP
Category : GAMS EMP library
Main file : simplechance.gms
$title Simple chance constraint model (SIMPLECHANCE,SEQ=82)
$onText
Simple chance constraint model from Lindo manual
Reference: LINDO API 7.0 User Manual
$set JorI I -> individual chance constraints
$set JorI J -> joint chance constraints
$offText
$if not set JorI $set JorI I
Scalar
* Random parameters
om1 / 1 /
om2 / 1 /;
Variable Z Objective;
Positive Variables X1,X2;
Equations OBJ, E1, E2;
OBJ.. Z =e= X1 + X2;
E1.. om1*X1 + X2 =g= 7;
E2.. om2*X1 + 3*X2 =g= 12;
Model sc / all /;
file emp / '%emp.info%' /; put emp '* problem %gams.i%'/;
* chance <prob> <equ1> [equ2 ... equn]
$ifThenI %JorI% == I
$onPut
randvar om1 discrete 0.25 1
0.25 2
0.25 3
0.25 4
randvar om2 discrete 0.3333 1
0.3334 2
0.3333 3
chance E1 0.6
chance E2 0.6
$offPut
$else
$onPut
randvar om1 discrete 0.25 1
0.25 2
0.25 3
0.25 4
randvar om2 discrete 0.3333 1
0.3334 2
0.3333 3
chance E1 E2 0.6
$offPut
$endIf
putclose emp;
Set scen scenarios / s1*s12 /;
Parameter
s_om1(scen)
s_om2(scen)
x1_l (scen)
x2_l (scen)
x1_m (scen)
e1_l (scen)
e2_l (scen)
;
Set dict / scen .scenario.''
om1 .randvar .s_om1
om2 .randvar .s_om2
x1 .level .x1_l
x2 .level .x2_l
x1 .marginal.x1_m
e1 .level .e1_l
e2 .level .e2_l
/;
solve sc min z use emp scenario dict;
display s_om1, x1_l, x2_l, x1_m, e1_l, e1_l;