chance-constrained programming

Reduced Sample Complexity in Scenario-Based Control System Design via Constraint Scaling

  • Jaeseok Choi
  • Constantino Lagoa
  • Anirudh Subramanyam
    • Categories Control Applications, Convex Optimization, Stochastic Programming Tags , ,

    The scenario approach is widely used in robust control system design and chance-constrained optimization, maintaining convexity without requiring assumptions about the probability distribution of uncertain parameters. However, the approach can demand large sample sizes, making it intractable for safety-critical applications that require very low levels of constraint violation. To address this challenge, we propose a … Read more

    A Decomposition Algorithm for Distributionally Robust Chance-Constrained Programs with Polyhedral Ambiguity Set

  • Hamed Rahimian
    • Categories Stochastic Programming Tags , , ,

    In this paper, we study a distributionally robust optimization approach to chance-constrained stochastic programs to hedge against uncertainty in the distributions of the random parameters. We consider a general polyhedral ambiguity set under finite support and study Wasserstein ambiguity set, total variation distance ambiguity set, and moment-based ambiguity set as examples for our computations. We … Read more

    Incorporating Service Reliability in Multi-depot Vehicle Scheduling: A Chance-Constrained Approach

  • Margarita P Castro
  • Merve Bodur
  • Amer Shalaby
    • Categories Cutting Plane Approaches, Stochastic Programming, Transportation Tags , , ,

    The multi-depot vehicle scheduling problem (MDVSP) is a critical planning challenge for transit agencies. We introduce a novel approach to MDVSP by incorporating service reliability through chance-constrained programming (CCP), targeting the pivotal issue of travel time uncertainty and its impact on transit service quality. Our model guarantees service reliability measured by on-time performance (OTP), a … Read more