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## chance.gms:

#### Reference:

• Bracken, J, and McCormick, G P, Chapter 9. In Selected Applications of Nonlinear Programming. John Wiley and Sons, New York, 1968, pp. 94-100.
• Original source: GAMS Model of chance.gms from GAMS Model Library

Point: p1
Best known point: p1 with value 29.8944

* NLP written by GAMS Convert at 07/30/01 10:10:32 * * Equation counts * Total E G L N X * 4 2 2 0 0 0 * * Variable counts * x b i s1s s2s sc si * Total cont binary integer sos1 sos2 scont sint * 5 5 0 0 0 0 0 0 * FX 0 0 0 0 0 0 0 0 * * Nonzero counts * Total const NL DLL * 17 13 4 0 * * Solve m using NLP minimizing objvar; Variables objvar,x2,x3,x4,x5; Positive Variables x2,x3,x4,x5; Equations e1,e2,e3,e4; e1.. objvar - 24.55*x2 - 26.75*x3 - 39*x4 - 40.5*x5 =E= 0; e2.. x2 + x3 + x4 + x5 =E= 1; e3.. 12*x2 - 1.645*sqrt(0.28*sqr(x2) + 0.19*sqr(x3) + 20.5*sqr(x4) + 0.62*sqr( x5)) + 11.9*x3 + 41.8*x4 + 52.1*x5 =G= 21; e4.. 2.3*x2 + 5.6*x3 + 11.1*x4 + 1.3*x5 =G= 5; * set non default bounds * set non default levels objvar.l = 28.9426476516831; x2.l = 0.685244910300343; x3.l = 0.0126990526103601; x4.l = 0.302056037089293; * set non default marginals e1.m = 1; e2.m = 1; x5.m = 1; Model m / all /; m.limrow=0; m.limcol=0; \$if NOT '%gams.u1%' == '' \$include '%gams.u1%' Solve m using NLP minimizing objvar;