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README.md

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[![Build Status](https://ci.appveyor.com/api/projects/status/github/mlubin/JuMPChance.jl?branch=master&svg=true)](https://ci.appveyor.com/project/mlubin/jumpchance-jl/branch/master)
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[![Coverage Status](https://img.shields.io/coveralls/mlubin/JuMPChance.jl.svg)](https://coveralls.io/r/mlubin/JuMPChance.jl?branch=master)
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[preliminary documentation](http://jumpchance.readthedocs.org/)
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JuMPChance (formerly CCJuMP) is an extension to [JuMP](https://github.com/JuliaOpt/JuMP.jl) for formulating and solving optimization problems with chance constraints (also known as probabilistic constraints). JuMPChance currently supports only a particular class of chance constraints involving affine combinations of jointly normal random variables, a classical formulation that's known to be efficiently solvable by using second-order conic programming (SOCP) (although JuMPChance also provides an outer-approximation algorithm which solves a sequence of linear problems).
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JuMPChance supports an extension of the classical model to distributionally robust (or ambiguous) chance constraints where the parameters of the normal distributions are known to fall in a symmetric interval or more general uncertainty set.
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See the [documentation](http://jumpchance.readthedocs.org/) for installation installation instructions, a quick start guide, and a more detailed discussion of the methods implemented.

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