Joint chance constrained problems give rise to many algorithmic challenges. Even in the convex case, i.e., when an appropriate transformation of the probabilistic constraint is a convex function, its cutting-plane linearization is just an approximation, produced by an oracle providing subgradient and function values that can only be evaluated inexactly. As a result, the cutting-plane model may lie above the true constraint. For dealing with such upper inexact oracles, and still solving the problem up to certain precision, a special numerical algorithm must be put in place. We introduce a family of constrained bundle methods, based on the so-called improvement functions, that is shown to be convergent and encompasses many previous approaches as well as new algorithms. Depending on the oracle accuracy, we analyze to which extent the considered methods solve the joint chance constrained program. The approach is assessed on real-life energy problems, arising when dealing with stochastic hydro-reservoir management.
Report Number : LGI Report CR-2012-13 ; Institutions : EDF R&D, Ecole Centrale Paris, IMPA ; Addresses : EDF R\&D. OSIRIS, 1, avenue du Général de Gaulle, F-92141 Clamart Cedex France ; : IMPA Brazil, Estrada Dona Castorina, 110 - Jardim Botânico, Rio de Janeiro - RJ, 22460-320, Brésil ; Date : 12/2012