bonferroni approximation

Optimized Bonferroni Approximations of Distributionally Robust Joint Chance Constraints

  • Shabbir Ahmed
  • Ruiwei Jiang
  • Weijun Xie
    • Categories Robust Optimization, Stochastic Programming Tags , ,

    A distributionally robust joint chance constraint involves a set of uncertain linear inequalities which can be violated up to a given probability threshold $\epsilon$, over a given family of probability distributions of the uncertain parameters. A conservative approximation of a joint chance constraint, often referred to as a Bonferroni approximation, uses the union bound to … Read more

    Stochastic geometric optimization with joint probabilistic constraints

  • Zhiping Chen
  • Abdel Lisser
  • Jia Liu
    • Categories Stochastic Programming Tags , , ,

    This paper discusses geometric programs with joint probabilistic constraints. When the stochastic parameters are normally distributed and independent of each other, we approximate the problem by using piecewise polynomial functions with non-negative coefficients, and transform the approximation problem into a convex geometric program. We prove that this approximation method provides a lower bound. Then, we … Read more