infiniteopt / InfiniteOpt.jl

An intuitive modeling interface for infinite-dimensional optimization problems.
https://infiniteopt.github.io/InfiniteOpt.jl/stable
MIT License
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Constraint Measures to Enable Event Constraints #71

Open pulsipher opened 3 years ago

pulsipher commented 3 years ago

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 commented 2 years ago

Using JuMP's indicator modeling might be sufficient here.