Optimal Growth Model

   {   Chance.mpl   }

   {   GAMS Model Library, http://www.gams.com/modlib/libhtml/chance.htm }

   {   Optimal Growth Model,  NLP,  Size: 3x4  }

   {   CONOPT: obj = 29.894,   x(0.6355,..,0.051776) }


TITLE
    Chance;

Option
    Modeltype=nonlinear
    Parsertype=extended

INDEX
    f := (barley,oats,sesame,grnd_meal); !feeds
    n := (protein,fats);         !nutrients

DATA
    Price[f] := (24.55,26.75,39,40.5);
    Req[n]   := (21, 5);
    MeanChar[n,f] := (12.0,11.9,41.8,52.1,
                       2.3, 5.6,11.1, 1.3);
    VarChar[n=protein,f] := (0.28,0.19,20.5,0.62);

VARIABLES
    X[f] INITIAL 0.25;

MODEL
    MIN Cost = SUM(f: Price * X);

SUBJECT TO

    MC: SUM(f: X) = 1;

!!!Deterministic Const
!    NBal[n]: SUM(f: MeanChar * X) >= Req;
!!!!!!!!!!!!!!!!!!!!!!

!Chance Constraint
    CC[n]: SUM(f: MeanChar * X) - 1.645*SQRT(SUM(f: VarChar * X^2)) >= Req;

BOUNDS
    0 <= X <= 1;