The Terminator: An Integration of Inner and Outer Approximations for Solving Regular and Distributionally Robust Chance Constrained Programs via Variable Fixing
We present a novel approach aimed at enhancing the efficacy of solving both regular and distributionally robust chance constrained programs using an empirical reference distribution. In general, these programs can be reformulated as mixed-integer programs (MIPs) by introducing binary variables for each scenario, indicating whether a scenario should be satisfied. While existing methods have predominantly … Read more